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Research bulletin

The aim of the research bulletin is to keep finance and investment actuaries up to date with the latest research. As finance and investment is a very wide area the bulletin focuses on research which is most likely to be of interest to members of the profession. The bulletin is updated once a month.

You may like to visit the finance and investment CPD page, which can be found here.

Last updated: 2 November 2012

Blogs

Published research - All items available from the Profession's libraries

Latest recommendations

The financial crisis and aftermath, and on related ethical/behavioural issues

  1. The end of growth: adapting to our new economics reality.- Heinberg, Richard. New Society Publishers, 2011.- 336 pages.
  2. Free capital : how 12 private investors made millions in the stock market.  - Thomas, Guy. - Harriman House Publishing, 2011.  - x, 279 p. pages.
  3. The trouble with markets: saving capitalism from itself.- Bootle, Roger. Nicholas Brealey Publishing, 2nd ed., 2011.- 305 pages.

Comment: All books above were recommended in The Actuary and may be borrowed from the Profession's libraries.

You may also be interested in:

  • The AAA handbook 2011 : a new dimension.  - 9th ed.  - Barclays Capital, 2011.  - 762 pages.
  • Extreme events: Robust portfolio construction in the presence of fat tails.- Kemp, Malcolm. - John Wiley & Sons Ltd, 2011. - 312 pages.
  • Manias, panics and crashes; a history of financial crises.  - 6th ed.  - Kindleberger, Charles P; Aliber, Robert Z. - Palgrave Macmillan, 2011.  - viii, 356 p pages.

Papers

Professional investor, Winter 2012 Request article from libraries

Roundtable. - Carlson, Sarah; Hamilton, Richard; Zhang, Eileen
How to analyse and assess sovereign risk.

Accounting for the cost of government credit assistance.
The Financial Economist Roundtable discussion statement examines the current government accounting rules used to calculate the budgetary costs of government credit programmes and concludes that the use of these rules results in the systematic understatement of the cost of federal credit programmes.

Collateral sourcing: cleared for take-off? - Philp, Jonathan
The challenges associated with the transition to central clearing of OTC derivatives must not be underestimated.

Challenges in risk management. - Hilton, Max
With AIFMD set to be implemented next year this is an opportune time for investment firms to review their risk management framework and functions.

The UK Market and Libor Reforms: will they be enough? - Fargeot, Claire
The manipulation of Libor has badly damaged London's reputation as a financial centre.

The eternal actuarial struggle - Solvency II and the search for the true discount rate. - Houben, Servaas
The challenges faced by insurance companies in their search for the true discount rate under the Solvency II regime.

Financial Analysts Journal, vol. 68, 5 (September/October 2012) Request article from libraries

  • Systemic risk, multiple equilibriums, and market dynamics: What you need to know and why. - El-Erian, Mohamed; Spence, Michael
  • Do financial markets reward buying or selling insurance and lottery tickets? - Ilmanen, Antti
  • Emerging market inflation-linked bonds.- Swinkels, Laurens
  • CVA and wrong-way risk. - Hull, John; White, Alan
  • Convertible arbitrage price pressure and short-sale constraints.- de Jong, Abe; Dutordoir, Marie; van Genuchten, Nathalie; Verwijmeren, Patrick
  • Leverage aversion and portfolio optimality. - Jacobs, Bruce I; Levey, Kenneth N
  • Do finance professors invest like everyone else? - Hibbert, Ann Marie; Lawrence, Edward R; Prakash, Arun J

Journal of Asset Management, vol. 13 (5) (2012) Request article from libraries

  • New methods of estimating volatility and returns: Revised. - Alghalith, Moawia
  • The term structure of loss preferences and rationality in analyst earnings forecasts. - Christodoulakis, Georg; Stathopoulos, Konstantinos; Tessaromatis, Nikolaos 
  • The impact of flow of funds and management style on abnormal performance.- Kaushik, Abhay
  • Innovative value indicators: Firm specific versus macroeconomic. - Kwag, Seung Woog (Austin); Lee, Sang Whi
  • Man versus math: Behaviorist exploration of post-crisis non-banking asset management. - Strang, Kenneth David

Applied mathematical finance, vol. 18 (5-6) (2011) Request article from libraries

  • Early exercise boundary for American type of floating strike Asian option and its numerical approximation.- Bokes, Tomáš; Ševcovic, Daniel
  • Mean-variance optimal adaptive execution. - Lorenz, Julian; Almgren, Robert
  • Arithmetic Asian options under stochastic delay models.- McWilliams, Nairn; Sabanis, Sotirios
  • Closed form approximations for spread options. - Venkatramanan, Aanand; Alexander, Carol
  • Option valuation with a discrete-time double Markovian regime-switching model. - Siu, Tak Kuen; Fung, Eric S; Ng, Michael K
  • Good-deal bounds in a regime-switching diffusion market. - Donnelly, Catherine
  • Small-time asymptotics for an uncorrelated local-stochastic volatility model. - Forde, Martin; Jacquier, Antoine
  • The British put option. - Peskir, Goran; Sammee, Farman

Research in progress

Link collections

 Research resources