Description: This article discusses the attributes of a unified Operational Risk Management framework and how those attributes can underpin a seven-factor economic capital model.

Description: While the major market crash subsequent to the widespread contagion of the COVID-19 virus was readily predictable, the rapid recovery and ongoing growth subsequent to it was not. Market dynamics around the recovery resist characterization by most traditional analytical approaches. In examining the circumstances around the emergence of a large retail class of investors, one sees that ingrained human tendencies, particularly optimism bias, have fueled much investor behavior responsible for the recovery. Understanding this makes it possible to predict potential future crashes and develop behavioral interventions for subsequent market recoveries.

Description: This article describes the Investment Year Method for allocation of general portfolio investment income and demonstrates the equivalence of a fixed index or declining index system.

Description: Why Write Variable Products When You Can Put the Money Directly into the Stock Market?

Description: This article aimed to make Liability Driven Investing LDI more accessible by providing a simple definition and by showing how plans of different sizes and circumstances may adopt an appropriate LDI approach.

Description: This article highlights 13 attributes shared by various groups of companies that landed in trouble. The companies are identified, and the attributes are described.

Description: This article suggests ways for small insurance companies to obtain modeling information on more intricate assets, such as collateralized mortgage obligations [CMO], at a low cost.

Description: Discount rate curve construction has been a topic of renewed interest following recent changes in financial reporting standards. Interpolation is a key component of curve construction and can be conducted via an assortment of methods. This article explores six popular interpolation techniques and assesses how they perform with regards to desirable features of such methods: continuity of forwards, stability and locality, simplicity, and market consistency.

Description: This article lays out a generic framework on how to hedge a European call option on a non-dividend paying stock using futures in a stochastic interest rate environment.