Description: Abstract: A model for analyzing the probability and severity of default of sovereign entities and banks. The methodology analyzes the risks inherent in the investment of debt of sovereign governments and large financial institutions side-by-side, taking into consideration macroeconomic interactions among the sovereign fiscal and monetary authorities, the financial institutions, and the real economy. The signature aspect of the methodology is that it adapts a Merton-style default model to use explicit measures of sovereign assets and asset volatility.

Description: The impact of bond default risk on retirement benefit obligations describes how the probability default on a bond is similar to the probability of death for an annuitant. Bonds are used to cash flow match retirement obligations cash flows to funding from bond. Just as the probability of non-payment happens on the liability side, we can do the same with selected bonds. The end result may be an adjustment to the discount rates used.

Description: Abstract: A model for analyzing the probability and severity of default of sovereign entities and banks. The methodology analyzes the risks inherent in the investment of debt of sovereign governments and large financial institutions side-by-side, taking into consideration macroeconomic interactions among the sovereign fiscal and monetary authorities, the financial institutions, and the real economy. The signature aspect of the methodology is that it adapts a Merton-style default model to use explicit measures of sovereign assets and asset volatility.

Description: This article presents a case study that examines the implication of using real-world interest rate scenario generators with a block of fixed deferred annuities. We contrast cash flow testing results based on New York 7 deterministic scenarios to stochastic scenarios generated with the Academy Interest Rate Generator , as well as an alternative economic scenario generator designed explicitly to capture the risk of a persistently low interest rate environment and the transition to a rising interest rate environment.

Description: Using basic actuarial principles to develop a reasonable spending budget and to keep spending/savings on track to meet financial objectives.

Description: Many of the innovations and methods required to improve retirement security exist, but have not been pulled together into an integrated solution at scale.

Description: Summarizes the articles in the newsletter.