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Liquidity, Capital, and ALM: How Insurers can Include a Liquidity Score and Liquidity Stress Scenarios as Part of their Asset Liability Management (ALM) Protocol
Josh Dobiac Risk Management, December 2023 Editor’s note: This article first appeared on www.milliman ... capital losses on SVB’s books. Prominent SVB investors, such as Peter Thiel’s Founders Fund and other ...- Authors: Joshua Dobiac, David Wang
- Date: Dec 2023
- Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Asset liability management
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Liquidité, capital et GAP : Comment les assureurs peuvent inclure un pointage de liquidité et des scénarios de crise de liquidité dans leur protocole de gestion de l’actif-passif (GAP)
D’importants investisseurs de la SVB, comme Peter Thiel’s Founders Fund et d’autres sociétés de capital de risque ... Toutefois, un article récent publié par Life and Annuity Specialist[3] laisse entendre que le ratio de l’actif ...
- Authors: Joshua Dobiac, David Wang
- Date: Dec 2023
- Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Asset liability management
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Dynamic v. Static Replication
“Static” 1-Year S&P 500 Volatility Management Calendar Year 2018, Target Volatility = 15% • S&P 500 price ... price return between -14.73% - +7.69 (S&P 500 total return including dividends = -5.18%) • Outcome: “static” ...- Authors: Joshua Dobiac, Jeff Greco, Hyunsu Kim FSA,MAAA (Hyunsu)
- Date: Oct 2019
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities; Enterprise Risk Management