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Looking at OSFI’s Recent LICAT Guideline Through a Cost of C
Looking at OSFI’s Recent LICAT Guideline Through a Cost of C This paper looks at simple risk margin ... need a new mathematical tool the author calls a dynamic risk margin. If 𝜇0(𝑠) is our best estimate ...- Authors: B John Manistre
- Date: Mar 2017
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Capital Approach to Credit and Liquidity Spreads
Capital ... differs materially from best estimate. iii. A dynamic spread for parameter risk, the risk that the best ... static margin for current experience risk and a dynamic margin for parameter risk.- Authors: B John Manistre
- Date: Feb 2016
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Capital management - ERM
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Down but Not Out: A Cost of Capital Approach to Fair Value Risk Margins
experience differs from the best estimate) and iii) a dynamic margin for parameter risk (the risk that the best ... concept of a dynamic margin that arises naturally out of the dual approach. Static and dynamic margins ...- Authors: B John Manistre
- Date: Mar 2015
- Topics: Enterprise Risk Management
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Down but Not Out: A Cost of Capital Approach to Fair Value Risk Margins - Abstract
Down but Not Out: A Cost of Capital Approach to Fair Value Risk Margins - Abstract This paper develops ... e differs from the best estimate) and iii) a dynamic margin for parameter risk (the risk that the ...- Authors: B John Manistre
- Date: Mar 2015
- Topics: Enterprise Risk Management
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Down But Not Out: A Cost of Capital Approach to Fair Value Risk Margins
experience differs from the best estimate) and iii) a dynamic margin for parameter risk (the risk that the ... of a dynamic loading which arises naturally out of the dual approach. Static and dynamic loadings ...- Authors: B John Manistre
- Date: Sep 2014
- Competency: Leadership>Thought leadership
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Capital markets; Enterprise Risk Management>Risk measurement - ERM
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Risk Management, August 2014, Issue 30, French Version
niveaux actuels de ces contrats. Credit Suisse Dynamic Tail DYTL CSEADYTL Action Dynamique Asymétrie ... d’options de vente couvertes en delta. Credit Suisse Dynamic Tail S&P DTSP CSEADTSP Action Dynamique Asymétrie ...- Authors: Society of Actuaries, B John Manistre, Edward Tom, Grace Koo, Jun He, Benjamin Neff, Barry Franklin, Max Rudolph, Ira Jersey, Timothy S Paris
- Date: Aug 2014
- Competency: External Forces & Industry Knowledge; Professional Values; Strategic Insight and Integration>Big picture view; Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Capital markets; Enterprise Risk Management>Financial management; Enterprise Risk Management>Risk appetite; Finance & Investments>Asset allocation
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Risk Management, August 2014, Issue 30
the cost of carry, hedgers often shift towards dynamic tail risk strategies during times of market stability ... stability. Over the last few years, a vast number of dynamic strategies in the form of algorithmic indices1 ...- Authors: Society of Actuaries, B John Manistre, Edward Tom, Grace Koo, Jun He, Benjamin Neff, Barry Franklin, Max Rudolph, Ira Jersey, Timothy S Paris
- Date: Aug 2014
- Competency: External Forces & Industry Knowledge; Professional Values; Results-Oriented Solutions; Strategic Insight and Integration>Big picture view; Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Capital markets; Enterprise Risk Management>Financial management; Enterprise Risk Management>Risk appetite; Finance & Investments>Asset allocation
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Down But Not Out: A Cost of Capital Approach to Fair Value Risk Margins
come to do a new valuation, we establish a new dynamic margin which restarts from zero at the new valuation ... added. At the valuation date we have added a dynamic load that takes the parameter up to the value ...- Authors: Society of Actuaries, B John Manistre
- Date: Aug 2014
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management