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Foreign exchange

The 'benefits' of smoothing

For a specific with-profits life insurance model, this article considers the amount of economic capital that is required to back smoothing benefits for a with-profits life insurance firm

The multi-period explosion

Suppliers of asset and liability modelling software are using grid computing to help life companies cope with the increasing burdens put on them by regulators and rating agencies

Taking the slow road to Basel II

Brazil’s central bank published Basel II implementation guidelines at the end of last year,giving the country’s banks a firm timetable for the introduction of the new framework.What progress have banks made so far? John Ferry investigates

Economic capital blues

Rating agencies and life insurers have not always got on, with squabbles over how to account for diversification across business lines a prime reason. But could the rise of economic capital management put an end to the arguing?

Getting a head-start

North American Energy Credit and Clearing may have gained an advantage by being the first to clear over-the-counter physical electricity contracts. But it still has to prove that it is reliable and efficient. Joe Marsh reports

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Hoodwinked!

Have you got a good grip on your view of volatility and correlation? Neil Palmer shows that, thanks to ever -present measurement errors, even the steadiest markets can throw up big surprises

Understanding Sam

The Samuelson Effect – backwardation in the term structure of forward volatility – can lead to valuation inaccuracies. In capturing the Samuelson Effect in energy derivatives valuation, analysts have tried both historical approaches and those that rely…

The scandal in Sudan

A fragile peace may at last have come to Sudan after 21years of civil war, but a bitter and unresolved dispute over oil exploration acreage in the south of the country couldendanger that peace. Report by Maria Kielmas

A disciplined approach

E&P companies tend not to strategically hedge in a rising market. But there are good reasons for them to do so, and some are sticking to their hedging strategies, despite suffering losses on their derivatives contracts. By Joe Marsh

James Tweed and Dave Wardley

At the end of last year, JAMES TWEED and DAVE WARDLEY launched the first hedge fund dedicated solely to trading freight. Stella Farrington meets them

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