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A Practical Concept of Tail Correlation
-7% 1% 1% 2% 1% -8% -6% -7% 101% 1% 1% 1% 3% 17 We now briefly indicate what has to be done in ... 0% 0% ρ ij 37% 100% 0% 17% +- 4% 0% 0% 2% 21% 0% 100% 0% 0% 0% 0% 0% 19% 17% 0% 100% 0% 2% 0% 0% ...- Authors: Application Administrator
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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A Cost of Capital Approach to Extrapolating an Implied Volatility Surface
A ... 2.5 3 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 Time in Years S to c k ... 200 vol points which is less than the 250 vol 17 point shock to best estimate volatility. The ...- Authors: Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Estimation methods
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Using Trading Costs to Construct Better Replicating Portfolios
Using Trading Costs to Construct Better Replicating Portfolios Regularization, by means of trading restrictions, ... (55 positions) is an attractive feature. 17 As shown in Figure 5, x[LM, , 156] maintains a ...- Authors: Curt Burmeister, Application Administrator
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Enterprise Risk Management>Portfolio management - ERM; Finance & Investments>Economic capital
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Capital and Hedge Modeling for Variable Annuities
Capital and Hedge Modeling for Variable Annuities 17 manufacturing an option in the basement rather ...- Authors: Hubert B Mueller, Application Administrator, Ulrich Stengele
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models
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Economic Risk Capital: Part 1
Economic Risk Capital: Part 1 Economic capital is an embedded part of the banking risk management ... scenario-intensive activity. It Economic Risk Capital: Part 1 17 requires fast models, but it also requires ...- Authors: Hubert B Mueller, Application Administrator, Jose Siberon
- Date: May 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital