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• Entire List

asset and liability management (ALM), interest rate risk, market consistent embedded value (MCEV), duration, convexity, duration gap, convexity gap, key-rate duration, key-rate convexity, immunization, dedication, half-way approach, target duration, convexity impact, stochastic ALM, DFA

credit risk, credit default risk, credit migration risk, credit portfolio modeling, CreditRisk, Markov process, Merton model, transition matrix model, Value-at-Risk, Expected Shortfall, Value-at-Risk contribution, Panjer recursion, Fourier transform, operational risk

credit spreads, liquidity premium, credit default swap, Black-Karasinski, jum process, predictive model for volatility, non-positive definite correlation matrix, marginal spread risk factor contribution, Quasi Monte Carlo sequence

Economic capital, variable annuity (VA), market risk, Value-at-Risk (VaR), Monte Carlo, Solvency II, path-dependent scenarios, “bump & revalue” approach, multidimensional varying Greeks, matrix of Greeks, Taylor series expansion, nested simulation, Least-Square Monte Carlo (LSMC)

solvency capital requirements, SCR, solvency II, analytical formula, economic capital, partial internal model

bond pricing, stochastic credit spreads, enhanced Jarrow, Lando and Turnbull model, risk-neutral valuation, Markov chain, arbitrage-free condition, European embedded value, time value of options and guarantees

replicating portfolio, European embedded value, time value of options and guarantees, market-consistent valuation, participating life insurance portfolio, market risk capital requirements, financial vanilla instrument, European-style instrument, curve fitting techniq, ordinary least square technique

Variance Swap, Basket of Options, Variance Replication, Log-Payoff Replication, Log-Contract, Pricing, Hedging, Replicating Portfolio

Hedge Funds, random walk model, Blundell-Ward model, Getmansky, Lo and Markarov model, serial correlation, smoothing, illiquidity, volatility forecasting, EWMA, ”square root of time” relationship, Markov-switching model, conditional serial correlation

option pricing, enhanced model, European call, jump, Poisson-driven process, Black-Scholes, Merton, implied volatility, volatility smile, closed-form solution, Newton-Raphson recursive algorithm