Description: Chairperson’s column discussing the state of the world today and how that influences investment strategies and describes to seminars the section sponsored to keep members apprised of changes.

Description: “It’s interesting to note that, given the past year’s reversal of fortunes in the stock markets, all the media rap about heated inquiries around back-dating options has stopped.”

Description: The author notes “a telescope and a kaleidoscope both provide a view but that is where the similarities end. A telescope shows us an actual view whereas a kaleidoscope creates a view from broken pieces of glass. This article will analyze which analogy is closer to the stochastic modeling of interest rate or stock market projections.”

Description: This 2001 article discusses the requirement to assess hedge effectiveness in the Financial Accounting Standards Board’s new statement on derivatives accounting, FAS 133, Accounting for Derivative Instruments and Hedging Activities, as critical for qualifying for “special” hedge accounting. The article provides analysis of different approaches and the potential difficulties encountered. This article is reprinted with permission from Derivatives Week.

Description: Argues public plans should only hold bonds, on the basis of tax and finance arguments.

Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?

Description: By necessity, attributions of financial processes require approximations. Tools used for approximations include Aumann-Shapley, time step, step-through, average step-through, partial derivative, and average partial derivative. Significantly non-linear paths can cause problems during attribution. Time (theta) and market factors must be handled concurrently. Typically contractual factors can be handled separately. Average Step-Through, Aumann-Shapley and Aumann-Shapley-3 points perform the best given the same time period. Attribution should be done with fairly small time steps as opposed to using a lot of points in the Aumann-Shapley calculation, but using Aumann-Shapley-3 points as a last step has some advantages.

Description: Abstract of Research Project on Interest Rate Risk

Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

Description: Proposes a benchmark consisting of TIPs and deferred income annuities for retirement asset allocation decisions.