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: Introduces the concept of total risk analysis, a methodology used to answer questions like "what are the chances we will lose more than $1 million"

Description: In this article the author discusses creating a common language for ORSA, capital and stress.

Description: This article will highlight the issue that the sum of key-rate metrics does not add to metrics derived by parallel shift to the entire curve, even at very low shift size. Additionally, in the article I will outline how to define a single rate change to be applied to a key rate (or the entire curve) since the rate changes are generally not level or parallel.

Description: In this article, the author explains what a CAT model is.

Description: This paper presents actuarial (mathematical) models for cyber breach probability as function of the level and allocations of security spending by a firm.

Description: European insurance regulation pretends to capture and rely on the 1-year 1-in-200 VaR. But there cannot exist any scientific calibration of such measure. Why?

Description: Strategic Risk Management was given lower priority in a recent survey of ERM Objectives. This article tells how the author believes that recent events have caused many to shift to a more short term focus and in the future there will be a shift back to a priority for the longer term view that stands behind Strategic Risk Management when the environment settles down and things again seem to be more predictable.

Description: Duration matching is a risk management strategy, commonly used in the insurance industry, where the duration (price sensitivity to a yield curve movement) of an asset portfolio is adjusted to be made equal to the duration of the liability. However, this approach has flaws. In this essay, I note some key failures of duration matching and offer a potential alternative.

Description: Since most cash flows being discounted in the value calculation are dependent on the forward rates, in the key-rate calculation forwards (not spots) should be shifted. I will show that if spots are shifted up/down, they would not necessarily result in forwards being up/down for all the years in the particular key rate, resulting in unexpected results. I will further show how metrics calculated by shifting forwards versus spots enhance the accuracy of the approximation of projected value in various rate environments.