Today’s reinsurance manager has to balance many diverging interests. Most prominent among these are the risk-return objectives of the company owners and the security requirements of the policyholders. Performance measurement issues and the sheer number of available reinsurance and capital...

Hedge funds are said to be rewarding investments because they have favourable risk-return characteristics on a standalone basis, and because they offer valuable diversification with respect to traditional stock and bond markets. On the other hand, hedge fund returns have a number of...

The changing business environment in non-life insurance and reinsurance has raised the need for new quantitative methods to analyze the impact of various types of strategic decisions on a company’s bottom line. Dynamic Financial Analysis («DFA») has become popular among practitioners as a...

We develop a framework to assess the statistical significance of expected default frequency as calculated by credit risk models. This framework is then used to analyze the quality of two commercially available models that have become popular among practitioners: KMV Credit Monitor and RiskCalc...

Foreign exchange rates can be subject to considerable daily fluctuations (up to 5 percent within one day). This can, in certain cases, cause serious losses on open overnight positions. Given a maximum tolerable loss for a company, limits have to be set on open overnight positions in foreign...

Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been proposed, but such estimators are found to be strongly...