Description: 2011 Enterprise Risk Management Symposium, Chicago. This is the abstract of the entitled paper.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This paper highlights the impact that a change in conditional data would have on a variety of risk assessment models, with specific emphasis on investment forecasting.

Description: This report aims to help actuaries and other interested parties to define the relative differences in managing risks between the insurance and banking industries. This report guides actuaries and others about change risk management practices to prevent future financial failures. The paper seeks to examine what factors account for the differences in the United States, compared with Canada about the underlying causes and effects of the most recent crisis with financial institutions.

Description: This is the second part of a 2 part series on Real options analysis (ROA). This article looks into the limitations of using financial option theory when doing real options analysis with projects that are long-dated and uncertain, such as: 1. First-degree homogeneity, 2. Uncertainty must derive from Brownian motion, and 3. Risk neutrality.

Description: There will be inflection points in the value of an instrument when interest rates change. These inflection points could materially impact the approximation of value change using ALM metrics. In this part of the seven-part series, I will highlight: • How to identify the inflection points; • the range of rate changes where ALM metrics may be relied upon i.e., the “validity” range, outside of which recalculation of the ALM metrics is required and the potential that one needs to rebalance the portfolio; • a technique to improve on the approximation of value change beyond the validity range; and • a technique to convert non-linear change on the yield curve to be used with duration and convexity.

Description: 2021 Life Meeting - Session 6D: The Importance of Joint Credit-Market Risk Modeling 8.31.21 Recording

Description: 2021 ImpACT Conference - Session 10E: Azure Synapse for Actuaries | Solvency II Use Case 10.28.21 Recording

Description: Come discuss modeling costs and its governance, as well as introduce some platforms for more granular asset modeling.