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Risk allocation as currently practiced in pension funds is typically characterized by 1 measurement of the risk of returns relative to a benchmark, and 2 the assignment of asset class and profit center limits on potential losses that remain within the fund's overall risk appetite, yet do not...
Risk is difficult to measure so difficult that no single measure seems robust enough for all circumstances. This is especially true of measuring the risk contained in insurancelinked securities. Insurance risk is usually asymmetrically skewed. As a consequence, traditional capital market risk...
Many companies have either rejected or reduced the size of risk management hedging programs because they do not believe that the market will reward them sufficiently for the reduction in earnings volatility. In fact, many commodity companies would take the argument a step farther and argue that...
The advent of derivatives and structured products has coincided with a proliferation of fixed income models used to analyze hedging, pricing, forecasting, and estimation for the term structure of interest rates. This article evaluates five models HoLee HL BlackDermanToy BDT Vasicek...
Standard financial models predict that investors who are willing to hold an investment in the shortrun will hold the same investment for the longrun. It is well known that a leveraged investment's expected excess return is equal to the unlevered excess return scaled by the leverage factor....
Investors in commercial paper CP markets include money market mutual funds, corporate treasurers, state and local governments, and commercial banks and their trust departments. The obligors in the market are predominantly large and highly creditworthy corporations. The credit risks faced by CP...
Is the U.S. property & casualty P&C insurance industry overcapitalized Many practitioners and industry observers claim that the industry is awash in capital, and that this excess capital has driven prices to historical lows. Others claim that the industry is undercapitalized relative to a large...
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