Description: This abstract describes a paper that studies the probability of a systemic event occurring within a financial network.

Description: This paper incorporates a jump-diffusion process into the original Lee-Carter model, and uses it to forecast mortality rates and analyze mortality securitization.

Description: Feature article describing what makes a company a systemically important financial institution and the new rules those companies will have to follow.

Description: Adaptive Risk Management harnesses social intelligence to identify emerging risks. We have entered an age of disruption where exponential technologies are transforming every industry. The ability to pivot in a rapidly evolving ecosystem is essential. Centralized “predict and control” paradigms will increasingly fail as complex interactions drive phase transitions. Successful organizations will harness social intelligence to “sense and respond” to giant waves of change. Maps amplify intelligence to help us navigate challenging terrain. Maps play a central role in all command centres, enabling rapid risk identification with a shared visual language. Interactive financial network maps allow analysts to explore and diagnose systemic fragilities, and mitigate critical vulnerabilities. Dynamic financial maps can also build visual intuition to detect escalating risk patterns. After observing early warning signals, analysts can apply network analytics to estimate likely second order effects. This allows organizations to proactively manage emerging risk before tipping points are crossed.

Description: When regulators examine financial institutions, one of the most important areas on which they focus is capital requirements. This essay argues that we can’t push for neither too high nor too low default probabilities. Regulate too high and you introduce rigidity to the system: you choke the economy. Regulate too low and you introduce softness in your foundations: they cannot for long sustain the economy. Therefore, regulation should be set to provide a 'window for business'.

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: A comprehensive analysis of the current economic crisis and risk management that considers the social and political behavior of people.

Description: Applies the economic concept of negative externality (where firms profit but create unacceptable social costs) to systemic of financial institutions. Identifies alternatives to the traditional (Pigou) response of taxing the firm.

Description: In this mortgage crisis, it appears mortgage brokers and mortgage originating bankers were similar to unchecked MGAs. These brokers and banks had an incentive to produce mortgages that would generate fees for them. Those mortgagees would then be sold to investors, generating additional fees – but it appears there were often no incentives to align the interests of those mortgage producers with the purchasers of these mortgages. The brokers and banks “did not have any skin in the game.”

Description: Climate change is making a significant economic impact into the work that actuaries do. Actuaries working in general insurance have been at the forefront of this work for many years. Now, actuaries in investments, pensions, life and health insurance as well as enterprise risk management are considering the risks of climate change and quantifying the impact of climate change in their modeling. Actuaries can expect to hear of these developments in actuarial circles with speakers representing the Society of Actuaries, the Canadian Institute of Actuaries, the Casualty Actuarial Society, the Institute and Faculty of Actuaries (UK) and/or the International Actuarial Association.