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Residual Risk When Hedging Delta and Rho of Equity Options
trades was made. This was tested as a range around 17 percent volatility and also tested as a range around ... rates, the average cost of hedging corresponds to 17 percent volatility. If interest rates are levelized ...- 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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Canadian Dollar Time Series
Canadian Dollar Time Series What ... from 1990, we get AUGUST 2005 • RISKS AND REWARDS • 17 turn to page 18 CANADIAN DOLLAR TIME SERIES Table ... Table 4: Parameters Calibrated Since 1990 From Page 17 ...- Authors: Joseph Koltisko
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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More Techniques For Better Attributions
2175 0.0043 39.5455 0.342720 0.001974 -77.863995 1/17/2008 1333.25 0.451745 -13.6917 1.5751 -0.2132 -0 ... -81.960049 FEBRUARY 2014 RISKS AND REWARDS | 17 The following table shows the daily attribution ...- Authors: Mark Evans
- Date: Feb 2014
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Estimation methods
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Implementing the Longstaff-Schwartz Model
Implementing the Longstaff-Schwartz Model The article discusses that drawbacks of the HJM ... Longstaff’s Web page. OCTOBER 2002 • RISKS AND REWARDS • 17 Publication Schedule for the Next Three Issues of ...- Authors: L SS
- Date: Oct 2002
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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A Few Comments on Academic Finance
rights reserved. AUGUST 2012 RISKS AND REWARDS | 17 torical investment returns may be treated as independent ... REWARDS AUGUST 2012 A fEW COmmENTS ON … | frOm PAGE 17 bank employees may even refer to their clients as ...- Authors: Richard Joss
- Date: Sep 2012
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Economics>Financial economics; Finance & Investments>Derivatives
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A Black Swan Test
A Black Swan Test “Many commentators have suggested that firms need to do stress tests to examine ... David Ingram AUGUST 2009 RISKS AND REWARDS | 17 percent loss of 2008 and drops off the 22.6 percent ...- Authors: David Ingram
- Date: Aug 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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Deflators - The Solution to a Stochastic Conundrum?
value in this table. JULY 2004 • RISKS AND REWARDS • 17 DEFLATORS—THE SOLUTION TO A STOCHASTIC CONUNDRUM ... DEFLATORS—SOLUTION TO STOCHASTIC CONUNDRUM? From Page 17 • SOA activities & initiatives • Educational opportunities ...- Authors: Don Wilson
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Life Insurance; Modeling & Statistical Methods>Stochastic models
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Stochastic Simulation for C3 Risk:A Statistical Review
current practice. FEBRUARY 2005 • RISKS AND REWARDS • 17 STOCHASTIC SIMULATION FOR C3 RISK: A STATIST ICAL ... SIMULATION FOR C3 RISK: A STATIST ICAL REVIEW From Page 17 Table 8: 10-Year Longitudinal Correlations Longitudinal ...- Authors: Richard Wendt
- Date: Feb 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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Optimizing CPPI Investment Strategy for Life Companies
Optimizing CPPI Investment Strategy for Life Companies Derives appropriate hedge ratios for CPPI strategies, ... Monthly AUGUST 2018 RISKS & REWARDS | 17 However, using a constant volatility and lognormal ...- Authors: Aymeric Kalife, Saad Mouti
- Date: Aug 2018
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Annuities>Variable annuities; Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments
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The Objective Function of Asset/Liability Management
The Objective Function of Asset/Liability Management This article discusses asset-liability management ... at Risk by Barry Schachter . . . . . . . . . . . . 17 page The Objective (Function) of Asset/Liability ...- Authors: David N Becker
- Date: Mar 1998
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Economic value