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A Cost of Capital Approach to Extrapolating an Implied Volatility Surface
A Cost of Capital Approach to Extrapolating an Implied Volatility Surface This paper ... capital concepts as its foundation rather than dynamic replication. The resulting model, called the 'C' ...- Authors: Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Estimation methods
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Representative Interest Rate Scenarios
Representative Interest Rate Scenarios This paper suggests a possible flexible solution to the time ... and/or the new Standard Valuation Law (US) or Dynamic Solvency testing (Canada), then the generator ...- Authors: Sarah Christiansen
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Estimation methods