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Swaps and the Swaps Yield Curve
Swaps and the Swaps Yield Curve Article, Swaps and the Swaps Yield Curve by Joseph G. Haubrich, reprinted ... 44. This article was originally published in Economic Commentary in December 2001. Reprinted with permission ...- Authors: Joseph G Haubrich
- Date: Feb 2004
- Competency: External Forces & Industry Knowledge>General business skills
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives
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Pricing and Hedging Financial and Insurance Products Part 2: Black-Scholes’ Model and Beyond
using Black-Scholes. Discussion on the limitations of Black-Scholes and of its alternatives such as Heston ... Heston. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation ...- Authors: Mathieu Boudreault
- Date: Mar 2013
- Competency: Results-Oriented Solutions>Actionable recommendations; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Economics>Financial economics; Finance & Investments>Derivatives
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The CDS Big Bang
The CDS Big Bang This article explains the 2009 changes to the Global Credit Default Swap contract and ... conventions. It is reprinted with permission from The Markit Magazine. Credit default swaps; 11044 8/1/2009 ...- Authors: Otis Casey
- Date: Aug 2009
- Competency: External Forces & Industry Knowledge>General business skills
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives
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Engaging the Fear Gauge: Observations on Counterintuitive VIX Behavior
Engaging the Fear Gauge: Observations on Counterintuitive VIX Behavior Describes the construction of the ... mathematically how the variance of investment returns is reflected in the price of the index. Provides ...- Authors: Edward Tom, Bogdan Ianev
- Date: Aug 2013
- Competency: Strategic Insight and Integration>Effective decision-making
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives
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A Few Comments on Academic Finance
Academic Finance Discussion of significant anomalies in option pricing due to the independent identically ... identically distributed assumption of the Black Scholes formula. ;; Financial economics; Risk modeling; Pension ...- Authors: Richard Joss
- Date: Sep 2012
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Economics>Financial economics; Finance & Investments>Derivatives
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Residual Risk When Hedging Delta and Rho of Equity Options
and Rho of Equity Options This article explores the effectiveness of hedging delta and rho of equity ... options. This provides insight into the frequency and severity of losses due to not hedging volatility ...- Authors: Mark Evans
- Date: Mar 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Enterprise Risk Management>Capital markets; Finance & Investments>Derivatives
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Fear and Loathing in Swaps
Fear and Loathing in Swaps Fear and Loathing in Swaps by Jim Sweeney from Risks and Rewards Newsletter, ... Newsletter, April 2000, Issue No. 34. Discussion of Interest Rate Swaps. Capital markets=Stock mark ...- Authors: Jim Sweeney
- Date: Apr 1999
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives
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Back-to-Basics: Credit Default Swaps
article, we address the basics of credit default swaps. These instruments represent the majority (over 70 ... percent) of activity in the fast-growing credit derivatives market, with the notional amount of credit ...- Authors: Teri Geske
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives
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Expected Returns on Indexed Credits
Expected Returns on Indexed Credits Proposes alternatives for ... estimating the long term interest returns in Indexed Universal Life products. Defends expected return of 20%-45% ...- Authors: Gary Hatfield
- Date: Aug 2017
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Actuarial Profession>Professional associations; Finance & Investments>Derivatives; Life Insurance>Universal life; Life Insurance>Marketing and distribution - Life Insurance
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Challenges in Effectiveness Testing under FAS 133
This 2001 article discusses the requirement to assess hedge effectiveness in the Financial Accounting Standards ... hedge accounting. The article provides analysis of different approaches and the potential difficulties ...- Authors: Anson Glacy, Rob Royall
- Date: Jul 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives; Financial Reporting & Accounting>Financial Accounting Standards Board [FASB]