Description: Reviews basic desirable features in an economic scenario generator. Discusses basics of model structure and validation process

Description: Recaps the evolution of VA products and hedging programs. Reflects on strategic considerations that contributed to relative performance in this market.

Description: This article shows a different form of the Black-Scholes formula for European calls and puts under risk-neutral assumptions, that permits a comfortable verbal interpretation. The derivation of this alternative form appears at the end of the article.

Description: This 2001 article discusses the requirement to assess hedge effectiveness in the Financial Accounting Standards Board’s new statement on derivatives accounting, FAS 133, Accounting for Derivative Instruments and Hedging Activities, as critical for qualifying for “special” hedge accounting. The article provides analysis of different approaches and the potential difficulties encountered. This article is reprinted with permission from Derivatives Week.

Description: Statistics were invented to describe heterogeneity and are now applied to tackle alea. It may not be appropriate. Let's clarify their field of relevance.

Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?

Description: The author notes “a telescope and a kaleidoscope both provide a view but that is where the similarities end. A telescope shows us an actual view whereas a kaleidoscope creates a view from broken pieces of glass. This article will analyze which analogy is closer to the stochastic modeling of interest rate or stock market projections.”

Description: John Shuttleworth explains why our exam syllabus needs updated and shares examples of inconsistencies in the material and actual financial economics. Edward Friend responds to this article.

Description: Chairperson’s column discussing the state of the world today and how that influences investment strategies and describes to seminars the section sponsored to keep members apprised of changes.

Description: “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 their risk models. We suggest the adop¬tion of a terminology to describe stress tests and also a meth¬odology that can be adopted by any risk model user to test and communicate a test of the stability of model results.”