This paper looks at the risks faced by financial institutions, and how they can be modelled and managed. I compare the way in which each of the risks affects different types of financial institution and look for similarities (and differences) across industries....
This paper looks at basis risk in survivor swaps, instruments where a fixed payment is made by one party at some point in the future in exchange for a payment based on the longevity of a reference population at the same point in the future. Cox and Lin (2005) discuss...
In this paper, I use a stochastic approach to model the effect that correlations between pension scheme assets and firm values should have on the premiums chargeable by the Pension Protection Fund. In particular, I look at the effect on the aggregate premium that...
The purpose of this paper is to investigate the role that fixed income securities should play in pension scheme investment. In this paper I look at the investment characteristics of the various bond asset classes, including the nature of the income streams produced. I...
This paper is an updated version of my 2002 paper to the Staple Inn Actuarial Society. The purpose of the paper is to investigate the role that high yield corporate debt may play in pension scheme investment. After describing the origins of the high yield...
The purpose of this paper is to investigate the role that high yield corporate debt may play in pension scheme investment. After describing the origins of the high yield corporate debt market, I compare the investment characteristics of high...
