The case for targeting core rather than headline inflation for long-term hedgers
A universal law for optimally dealing with proportional transaction costs
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Technical papers/Insurance articles
Portfolio construction and systematic trading with factor entropy pooling
Improving variable annuity valuation and reserving by regressing over scenarios, using a technique from American option pricing. Variable annuity economic capital
Under traditional finite difference methods, the calculation of variable annuity sensitivities can involve multiple Monte Carlo simulations, leading to high computational cost. A pathwise approach r...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.