Description: This article discusses the pending book entitled 'Dynamic Risk Modeling Handbook.' The proposed scope and outline of the book is reviewed. This is a revision of the 'DFA Handbook' which was published in 1995.

Description: A critical step in valuing a company for the purpose of financial reporting is the computation of the market value of economic surplus (MVES). This article provides a novel approach to the valuation of MVES that is stable and reasonably immune to “market noise.” Current approaches to the calculation of economic surplus of an insurance company generally define such surplus as the market value of the assets (MVA) supporting the liabilities less the market value of liabilities (MVL). While MVA is observable in the market, MVL is typically computed directly, without regard to the underlying supporting assets. Subtracting MVL from any value of assets that changes with market movements results in an unstable surplus. Consequently, a surplus that is not fully reflective of market sentiment has been rejected by many. This same approach is further used in the calculation of market consistent embedded value (MCEV) when a balance sheet approach is used .

Description: This Chairperson's Corner article discusses the SOA becoming the pre-eminent risk management profession. The Chairman's message is that actuaries have the inside track on risk management positions in the insurance industry and have a basis for competing for similar positions in the broader financial services industry.

Description: This article describes an initiative of the Chief Risk Officer Forum to perform a study to benchmark internal models, so as to discuss the admissibility of these models for regulatory purposes in the context of Solvency II. The results of and reactions to that study are discussed.

Description: Read the September 2020 issue of Risk Management published by the Joint Risk Management section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: This article defines operational risk, gives some real-life examples of improperly managed operational risks and the consequences thereof, and provides advice on steps necessary to mitigate operational risk.

Description: How insurers can include a liquidity score and liquidity stress scenarios as part of their asset liability management (ALM) protocol.

Description: This article will examine four approaches under two different methods (eight in total) used to combat the non-additivity of key rates and will compare them under a number of rate environments.

Description: This article highlights 13 attributes shared by various groups of companies that landed in trouble. The companies are identified, and the attributes are described.

Description: There will be inflection points in the value of an instrument when interest rates change. These inflection points could materially impact the approximation of value change using ALM metrics. In this part of the seven-part series, I will highlight: • How to identify the inflection points; • the range of rate changes where ALM metrics may be relied upon i.e., the “validity” range, outside of which recalculation of the ALM metrics is required and the potential that one needs to rebalance the portfolio; • a technique to improve on the approximation of value change beyond the validity range; and • a technique to convert non-linear change on the yield curve to be used with duration and convexity.