Technical papers / Insurance Risk
The case for targeting core rather than headline inflation for long-term hedgers
A universal law for optimally dealing with proportional transaction costs
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More Technical papers / Insurance Risk articles
Portfolio construction and systematic trading with factor entropy pooling
Defined benefit pension strategy with stochastic volatility
Impact-adjusted valuation and the criticality of leverage
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.