Hello, Login
X

Forgot Password?

Join Us

to start. Not a member? Join Today!
LinkedIn Join us on
Investment Management Information
“Bridging the theory & practice of investment management”
Email
Advanced Search →
  • Home
  • Journal
    • About
    • Subscribe to the Journal
      • Subscriptions
      • Library Subscriptions
    • Harry M. Markowitz Award
    • Submit a Paper
      • Article Guidelines
      • Practitioner’s Guidelines
    • Reprints & Permissions
  • Conferences
    • JOIM Conference Events
    • About
    • Membership
    • Board Members
  • Library Access
  • Contact
  • Help

0 comments / 2015-02-19 /

DECOMPOSING AND MANAGING MULTIVARIATE RISKS: THE CASE OF VARIABLE ANNUITIES

Thomas S. Y. Ho and Blessing Mudavanhu

Many investment strategies, particularly in asset-liability management, involve multivariate risks. Asset-liability management strategies in pension, endowments, insurance, banking often confront with complex correlation structure of equity, currency and interest rate risks. This paper proposes a methodology that uses financial engineering to decompose such multivariate risks into linear combinations of their principal risk sources. As a result, the method offers a practical and effective approach to manage these risks. In particular, this paper applies such a method to manage variable annuities.

The market of variable annuities has grown tremendously in recent years and has become a significant part of our capital markets. These equity and interest rate structured products offer a broad range of guarantees, whose risks are typically borne by the insurers’ balance sheets. In this paper, we apply a decomposition methodology to identify the risks of these guarantees. We then discuss the hedging strategies in managing them within the context of an investment process.

Checkout Added to cart

Next Article: REVISITING THE SLOPE OF THE CREDIT CURVE

Previous Article: REDUCED FORM VS. STRUCTURAL MODELS OF CREDIT RISK: A CASE STUDY OF THREE MODELS

JOIM

    Library Access

    Subscribe to the Journal
    Submit a Paper
    Harry M. Markowitz Award
    Editorial Board
    Upcoming Conferences

    Edit Profile

Recent Comments

    JOIM

      About the JOIM
    • Library Access
    • Subscribe to the Journal
    • Submit a Paper
    • Editorial Board
    • Harry M. Markowitz Award
    • Licensing Rights and Advertising
    • Terms and Conditions

    JOIM Conference Series

    • About
    • Upcoming Conferences
    • Membership
    • Board Members
    • Terms & Conditions
    Speaker Reimbursement Policy

    Contact

    Journal Of Investment Management (JOIM)
    3658 Mt. Diablo Blvd., Suite 200
    Lafayette, CA 94549
    www.joim.com

    customerservice @ joim.com
    (925) 299-7800

    Copyright 2019 — Journal Of Investment Management design by SEO Web Designers