Description: Investment Fallacies: The Fallacy of the Fed Model

Description: Description of new regulatory risk disclosure for private fund advisers.

Description: This article examines how parameter uncertainty leads to uncertainty in Value at Risk VaR estimates. Lacking a closed form solution, we use a first order approximation of VaR to map parameter changes into changes in the VaR value. When the asymptotic distribution of parameter estimates is normal, this implies a normal approximation of the confidence interval about VaR. We describe this approximation in detail and explore some extensions to risk factor modeling.

Description: Investment Fallacies: The Misconceptions of Retirement Risks

Description: This study note focuses on actuarial applications and loss distributions for insurance products.

Description: E-book contains 16 topical essays that express the opinions and thoughts of a number of authors on the subject of Investment Fallacies.

Description: Much of the push for ERM has come from regulators and rating agencies, but it is being applied in internal company decision-making as well. This paper reviews the progress made and the needs still outstanding in two key areas of application: optimal capital level for an insurer and risk-adjusted profitability of business units. The basic conclusion is that progress has been made in these areas, but more is needed. Building models is not emphasized—it will be assumed that a state-of-the art model is available. The emphasis is on using such models in decision-making.

Description: Investment Fallacies: On the Validity of Common Portfolio Return Assumptions

Description: Investment Fallacies: Extended periods of robust macroeconomic growth are healthy for investing.

Description: Investment Fallacies: The "Dollar Bill" Fallacy