Laurie Carver
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Articles by Laurie Carver
NAIC decision to stop using rating agencies for RMBS heralds major change for US insurance industry
Concern by the NAIC over the veracity of rating agencies’ analysis of insurers’ RMBS holdings is leading to a shake-up in how these organisations are used in the US. Is this pattern set to be followed in Europe?
An unhealthy interest
The rise of impaired annuity providers at the start of the decade prompted a migration of the least healthy annuitants away from traditional providers, skewing their mortality assumptions and capital reserves. But as mainstream annuity providers use an…
Institutional memory
Ninety-year-old TIAA-Cref is one of the US’s oldest providers of retirement services and came into the financial crisis with experience of past crises galore. But did history help it when the crunch bit, and how will its business model learn from this…
Rehabilitating innovation
The financial crisis has put greater focus on the accuracy of models, with some regulators criticising banks for placing too much reliance on model outputs. In an introduction to this month's Cutting Edge section, Mauro Cesa, Risk's technical editor, and…
Intensity gamma
Mark Joshi and Alan Stacey develop a new model for correlation of credit defaults based on a financially intuitive concept of business time similar to that in the variance gamma model for stock price evolution
Wrong way risk modelling
Beyond its potential impact on counterparty risk exposure, the wrong way risk arising in some derivatives transactions raises important modelling challenges. Christian Redon presents two suitable models based on conditional expected exposure. Among…
Time for multi-period capital models
Several financial institutions use single-period models to determine their credit portfolio loss distribution, calculate their loss volatility and assign economic capital.
Mean-reverting smiles
Commodity markets such as crude oil exhibit mean reversion as well as option smiles. David Beaglehole and Alain Chebanier meet this challenge, constructing a model suitable for pricing exotic options in these markets