Description: The article discusses that drawbacks of the HJM Heath-Jarrow-Morton class of stochastic interest models and suggests the use of the Longstaff-Schwartz string model. It describes the use and benefits of the Lonstaff-Schwartz string model.

Description: Feature article discussing how insurers have reflected volatility in asset return assumptions when determining capital requirements, but have largely disregarded the impact of mortality volatility on their liability assumptions when performing stochastic analysis.

Description: This article discusses asset-liability management from two different paradigms, one a simulation of the firm as an external observer e.g. shareholder would view it, and the other a “still life” at a given moment from an internal viewpoint.

Description: “Many commentators have suggested that firms need to do stress tests to examine their vulnerability to adverse situations that are not within the data set used to parameterize their risk models. We suggest the adop¬tion of a terminology to describe stress tests and also a meth¬odology that can be adopted by any risk model user to test and communicate a test of the stability of model results.”

Description: In this article we take a look at some of the requirements practitioners will need to consider as they implement a framework for managing the long‑term implications of C-ROSS as they pursue their capital efficiency agenda.

Description: Feature article provides a glimpse into recent changes to various standards of care owed to customers that will undoubtedly have a significant impact on the products and services offered by many financial institutions.

Description: “Investments in securities are traditionally evaluated on a standalone basis by using ratios that summarize the relation¬ship between anticipated risks and rewards. These ratios could also be used to better quantify the relationship between the standalone risks and rewards of life and annuity products and thus enhance the capital allocation process. These ratios will be discussed and critiqued.” The article describes how “the . . . ratios can help tie modeled product risks to modeled rewards.”

Description: This article discusses how FHLB advances, i.e. low cost loans, can supply valuable risk management benefits. By carefully structuring an advance to mature coincident with the anticipated premium inflows generated by insurance products, a company can largely eliminate future net cash flows and consequently the need to invest them in uncertain capital markets.

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: Feature article discussing the complexity of financial markets.