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Swaps and the Swaps Yield Curve
andhttp://www.actuaries.ca/meetings/archi v e _ i n v e s t m e n t 2 0 0 3 _ f . h t m l f o r t h e F r ... th is year ’ s success , the 2004 s y m p o s i u m w i l l b e h e l d i n B o s t o n o n ...- Authors: Joseph G Haubrich
- Date: Feb 2004
- Competency: External Forces & Industry Knowledge>General business skills
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives
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Swap It! Variable M&E Revenuefor Fixed M&E Revenue
benefit claims increases, while increases from mortality and expense fees declines. The article illustrates ... structured total return swap, to turn a company's uncertain M&E revenue patterns into predictable ...- Authors: Marshall C Greenbaum, Adam Zivitofsky
- Date: Feb 2002
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Enterprise Risk Management>Financial management; Finance & Investments>Derivatives
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Fear and Loathing in Swaps
Fear and Loathing in Swaps Fear and Loathing in Swaps by Jim Sweeney from Risks and Rewards Newsletter, ... Sweeney from Risks and Rewards Newsletter, April 2000, Issue No. 34. Discussion of Interest Rate Swaps ...- Authors: Jim Sweeney
- Date: Apr 1999
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives
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Pricing and Hedging Financial and Insurance Products Part 2: Black-Scholes’ Model and Beyond
each period, the stock can increase by a factor of u or decrease by a factor of d. A cell in the binomial ... scientific contributions also helped launch the first U.S. options exchange in Chicago in 1973, known as the ...- Authors: Mathieu Boudreault
- Date: Mar 2013
- Competency: Results-Oriented Solutions>Actionable recommendations; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Economics>Financial economics; Finance & Investments>Derivatives
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Back-to-Basics: Credit Default Swaps
Issue No. 42 R I S K S A N D R E W A R D S ISSUE NO. 42 • JULY 2003 TH E NE W S L E T T E R O F T ... T H E IN V E S T M E N T SE C T I O N PU B L I S H E D I N SC H A U M B U R G, IL BY T H E SO C ...- Authors: Teri Geske
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives
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Challenges in Effectiveness Testing under FAS 133
Challenges in Effectiveness Testing under FAS 133 This 2001 article discusses the requirement ... effectiveness in the Financial Accounting Standards Board’s new statement on derivatives accounting, FAS 133, ...- Authors: Anson Glacy, Rob Royall
- Date: Jul 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives; Financial Reporting & Accounting>Financial Accounting Standards Board [FASB]
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Engaging the Fear Gauge: Observations on Counterintuitive VIX Behavior
Engaging the Fear Gauge: Observations on Counterintuitive VIX Behavior Describes the construction ... Behavior Describes the construction of the CBOE's VIX index. Shows mathematically how the variance ...- Authors: Edward Tom, Bogdan Ianev
- Date: Aug 2013
- Competency: Strategic Insight and Integration>Effective decision-making
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives
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The CDS Big Bang
The CDS Big Bang This article ... ie M ac 10 /2 /2 00 8 Le hm an B ro th er s 10 /8 /2 00 8 W as hi ng to n M ut ua l ... N et w o rk s 2/ 5/ 20 09 Sm ur fit 2 /1 7/ 20 09 St at io n C as in o s 3/ 25 /2 00 ...- Authors: Otis Casey
- Date: Aug 2009
- Competency: External Forces & Industry Knowledge>General business skills
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives
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Residual Risk When Hedging Delta and Rho of Equity Options
Input data included the daily closing value of the S&P 500 index price from Jan. 2, 1962 through Sept ... This procedure is roughly calibrated to historical S&P 500 re- turns. 10-YEAR PUT OPTION HEDGING For the ...- Authors: Mark Evans
- Date: Mar 2016
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Enterprise Risk Management>Capital markets; Finance & Investments>Derivatives
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rar-2012-iss60-boudreault
the risk-free rate is 2 percent. According to mortality tables, this individual has a 1 percent probability ... Strictly from a financial engineering viewpoint, mortality risk creates market incompleteness. As it will ...- Authors: Mathieu Boudreault
- Date: Sep 2012
- Competency: Results-Oriented Solutions>Actionable recommendations; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Economics>Financial economics; Finance & Investments>Derivatives