Description: Panelists at this session of the SOA 2001 Toronto Spring Meeting discuss new profit measures that are used in the management of the company. The focus is on value-added and risk-adjusted return on capital [RAROC] methods.

Description: This presentation examines the measurement and hedging of synthetic CDO tranche spread risks based on market spread data following the sub-prime crisis. A range of methods proposed for pricing bespoke CDOs are examined to assess their ability to hedge the credit spread risk. The methods assessed are calibrated to the traded CDO index spread and then compared based on the mean absolute pricing errors over a time period including the sub-prime crisis. Standard pricing methods and variations used to price bespoke CDOs generally perform poorly in hedging credit spread risk. Past data can be used to improve the performance of the methods. The results of this analysis also raise concerns with the accuracy of 'mark-to-model' valuations of bespoke CDOs using standard market methods.

Description: The panel at this session of the SOA 2004 Annual Meeting describes and discusses methods that are currently used for quantifying credit risk, both from a portfolio perspective and an individual security perspective.

Description: This session discussion is about the pricing considerations for risk and measurement of the rate of return in light of unexpected contingencies including: defaults, economic downturns, change in bond ratings and market value changes. From Record of the Society of Actuaries Vol. 15, No. 3B.

Description: This session at the SOA 1990 San Francisco Spring Meeting is about the various factors to be considered in determining the interest margins for interest-sensitive life insurance, annuities and GICs, i.e. the difference in earned and credited rates including practical considerations. Valuing embedded options in assets and liabilities is also discussed.

Description: This discussion at the 1968 Annual Meeting covers insurance company investment issues including measurement of investment performance and models for measuring perfomance.

Description: This session at the SOA 2003 Washington, DC Spring Meeting focuses on the issues involved in building a scenario generator. It covers the data set used to develop and calibrate the generator as well as a discussion of different approaches and their features. Implementation is addressed along with potential pitfalls.

Description: This session at the SOA 2001 Toronto Spring Meeting looks at liquidity risk including the causes and risk management options. The work of the American Academy of Actuaries Life Liquidity Work Group is reviewed. The requirements of New York's Circular Letters ont the subject are discussed.

Description: Presented at May 1996 Spring Meeting. This teaching session covers course F-585 in the exam materials, which is intended to provide background for the actuary who aspires to become the chief financial officer of a financial institution. It addresses raising capital and financial management.

Description: Investment opportunities are driven by events in the economy and how participants in the financial markets react to those events. This keynote address will highlight current economic themes and their impact on investment opportunities.