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

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.

Description: This article addresses the concern that while risk assessment models are supposed to help identify and reduce risk, they can be a source of risk themselves. A new report released by the Canadian Institute of Actuaries in August 2008 helps address that potential problem by providing useful guidance to actuaries who are charged with designing, implementing and using advanced models.

Description: To address non-parallel movement in the interest rates the concept of key-rate duration was introduced in mid-'80s by Tom Ho. I will define certain key rate metrics, their variation used in the industry, how to calculate them, and an existing industry issue with how they are used. Additionally, I propose a novel technique to calculate key rates to mitigate the problem faced in the industry

Description: To address non-parallel movement in the interest rates the concept of key-rate duration was introduced in mid-'80s by Tom Ho. I will define certain key rate metrics, their variation used in the industry, how to calculate them, and an existing industry issue with how they are used. Additionally, I propose a novel technique to calculate key rates to mitigate the problem faced in the industry

Description: This article discusses the Insurer Solvency Assessment – Towards a Global Framework report prepared by the IAA Insurer Solvency Assessment Working Party WP. The conclusions of the report are consistent with the three pillar approach to the regulation of financial service entities that is reflected in the Basel Accord for the regulation of banks internationally. The pillars are: Pillar I: Minimum financial requirements. Pillar II: Supervisory review process. Pillar III: Measures to foster market discipline.