Description: Investment Fallacies: The Fallacy of Independence

Description: Investment Fallacies: A real-world approach to Value at Risk

Description: The author provides an overview, from a banking perspective, of Value at Risk VAR and its use as a risk management tool. This article originally appeared in the August 1997 issue of Financial Engineering News and is reprinted with permission.

Description: When a life insurance company changes its basis for computing tax reserves, a special 10-year spread rule found in section 807(f) of the Internal Revenue Code applies to the change. But, what happens if the statutory accounting for original issue discount (OID) or bond premium changes? A discussion follows.

Description: Investment Fallacies: The Myth of Time Diversification

Description: Investment Fallacies: Future Equity Returns

Description: This article examines how parameter uncertainty leads to uncertainty in Value at Risk VaR estimates. Lacking a closed form solution, we use a first order approximation of VaR to map parameter changes into changes in the VaR value. When the asymptotic distribution of parameter estimates is normal, this implies a normal approximation of the confidence interval about VaR. We describe this approximation in detail and explore some extensions to risk factor modeling.

Description: Description of new regulatory risk disclosure for private fund advisers.

Description: Read the February 2017 issue of Risks and Rewards published by the Investment Section.

Description: This article discusses risk transfer and how difficult it is to define and describe. For actuaries, the challenge is to develop an analytical framework under which the presence of insurance risk can be identified and assessed.