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A Black Swan Test
A Black Swan Test “Many commentators have suggested that firms need to do stress tests to examine their vulnerability to adverse situations that are not within the data set used to parameterize ...- Authors: David Ingram
- Date: Aug 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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Earnings Focused Asset-Liability Management
Earnings Focused Asset-Liability Management There are two main techniques for evaluating the financial impact of interest rate movements on insurance companies: duration measures and computer ...- Authors: Barry Freedman
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods
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Back Dating Options: How Big A Sin Was It?
Back Dating Options: How Big A Sin Was It? “It’s interesting to note that, given the past year’s reversal of fortunes in the stock markets, all the media rap about heated inquiries around ...- Authors: Cicero Limberea
- Date: Aug 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Financial Reporting & Accounting>Fair value accounting; Modeling & Statistical Methods
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Interest Rate Regimes - An Empirical Description
Interest Rate Regimes - An Empirical Description In this article about interest rate models, the author develops an empirical description of the term “interest rate regime,” and looks at the ...- Authors: Joseph Koltisko
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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Modeling Assumptions
Modeling Assumptions This article focuses on one fundamental modeling assumption — the choice of a benchmark rate or risk-free rate. The author looks at this bond market assumption as a case ...- Authors: Catherine Ehrlich
- Date: Feb 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Economics>Financial markets; Modeling & Statistical Methods
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Canadian Dollar Time Series
Canadian Dollar Time Series What is going on with the exchange rate, anyway? In 2002, $1 U.S. bought $C 1.60, and now in May 2005 you only get $C 1.25—that’s 20 percent less! Where’s it going ...- Authors: Joseph Koltisko
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods