While asset/liability management (A/L M) has been applied widely by insurers for 15 years, it has had mixed results. This article describes how initial efforts were unsuccessful, due to the focus on accounting values rather than economic values. The author asserts that insurers must rectify this...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>At large financial institutions, operational risk is gaining the same importance as market and credit risk in the capital calculation. Although scenario analysis is an important tool for financial risk measurement, its use in the measurement of operational risk...</p>

Return distributions in general and interest rates in particular have been observed to exhibit skewness and kurtosis that cannot be explained by the (log)normal distribution. Using g-and-h distribution we derived a closed-form option pricing formula for pricing European options. We measured its...