Description: Describes a case study of estimating insurance liability dollar value of 1 bp using a polynomial approximation. The polynomial approximation is calibrated using a least-squares fit to results under a multi-scenario projection

Description: Explains the more granular breakout of bond RBC factors proposed to the NAIC. Evaluates alternative asset allocation choices for insurers under the new rules.

Description: “What is the likelihood of market crashes? This article seeks to provide an answer to this and related questions by focusing mainly on the crash of October 1987. Specifically, we shall seek answers to three questions: 1. Given the history of market returns, was the crash of ‘87 unusual? 2. How do conditional variance models such as GARCH behave around periods of extreme moves in the market? 3. What is the impact of the crash on backtesting and performance evaluation?” Editor’s Note: The following article originally appeared in the Winter 1998 issue of The BARRA Newsletter, Horizon, and is reprinted here with permission.

Description: This article discusses market declines and the impact that white collar crime or gross dishonesty in financial reporting can have on market declines.

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: August 2010 issue of the Investment Section newsletter, Risks & Rewards.

Description: At the November meeting of the IASB’s SAC, I raised strong support for the concept of a priority project to accelerate the development of a new conceptual framework for the IASB with emphasis on the role of reliability, the definition of liability, the meaning of probable, the effects of contingencies i.e. contingent probabilities, the unit of account and accounting for contractual rights and obligations. Editor’s note: This is an excerpt from a longer address to the International Accounting Standards Board on guiding principles.

Description: Explains different disclosure requirements that apply to costs characterized as part of the "spread" and those that are part of the contract "fees". An example illustrates these concepts

Description: A note to the section members from the outgoing and incoming section chairs.

Description: The February 2012 issue of Risks & Rewards newsletter.