Description: Read the August 2018 issue of Risks & Rewards published by the Investment Section.

Description: View the staff corner.

Description: The article warns against treating the results of a stochastic model with more deference than other actuarial analysis, and describes some hidden risks involved with choice of model and calibration.

Description: Risk Management, the newsletter of the Joint Risk Management Section. January 2016, entire issue

Description: Update of the activities being carried out by the Joint Risk Management Section

Description: This articles explores the notion of whether the old rules and paradigms of investment strategy and caution may no longer be applicable in today’s financial environment, because things were “different this time.”

Description: This article discusses data mining and the statistics of coincidence, and provides “guidelines for backtesting integrity” to help ensure results have value beyond mere coincidence. Editor’s Note: The following article originally appeared in the Winter 1998 issue of the Horizon, a publication of BARRA, Inc., and is reprinted with permission.

Description: “What is the likelihood of market crashes? This article seeks to provide an answer to this and related questions by focusing mainly on the crash of October 1987. Specifically, we shall seek answers to three questions: 1. Given the history of market returns, was the crash of ‘87 unusual? 2. How do conditional variance models such as GARCH behave around periods of extreme moves in the market? 3. What is the impact of the crash on backtesting and performance evaluation?” Editor’s Note: The following article originally appeared in the Winter 1998 issue of The BARRA Newsletter, Horizon, and is reprinted here with permission.

Description: This article discusses the new profession of financial engineering and the fit of actuaries in this profession.