Template-type: ReDIF-Article 1.0 Author-Name: Muir, M. J. Author-Name: Chase, A. Author-Name: Coleman, P. S. Author-Name: Cooper, P. Author-Name: Finkelstein, G. S. Author-Name: Fulcher, P. Author-Name: Harvey, C. Author-Name: Pereira, F. R. Author-Name: Shamash, A. Author-Name: Wilkins, T. J. D. Title: Credit Derivatives. Prepared by the Derivatives Working Party of the Faculty and Institute of Actuaries Journal: British Actuarial Journal Pages: 185-236 Issue: 2 Volume: 13 Year: 2007 Month: July Abstract: This paper was written by the Derivatives Working Party, a permanent working party of the Life Research Committee of the Institute and Faculty of Actuaries. Our aim is to consider how life assurers may use, or may wish to use, derivatives, and if their use is unduly constrained, e.g. by regulation. This paper focuses on credit derivatives. We provide an overview of the credit derivatives market, and the strong growth in this market over recent years. We then focus on the two main traded credit derivative instruments — Credit Default Swaps (CDSs) and Collateralised Debt Obligations (CDOs). We explain how these instruments work and are priced, and clarify some of the more complex topics involved, such as the settlement of CDSs, basis risk and the relevance of implied correlation in pricing CDOs. We then consider how life insurers could make use of credit derivatives, for example to provide more efficient investment management in taking exposure to credit risk, or to hedge credit exposures, and consider the regulatory implications of so doing. Finally, in the Appendix, we discuss the credit spread puzzle, and the existence or otherwise of a liquidity premium in corporate bond spreads, with implications for the valuation of illiquid liabilities. File-URL: https://www.cambridge.org/core/product/identifier/S135732170000146X/type/journal_article File-Function: link to article abstract page File-Format: text/html Handle: RePEc:cup:bracjl:v:13:y:2007:i:02:p:185-236_00 Template-type: ReDIF-Article 1.0 Author-Name: Anonymous Title: Credit Derivatives. Abstract of the Discussion Journal: British Actuarial Journal Pages: 237-256 Issue: 2 Volume: 13 Year: 2007 Month: July Abstract: File-URL: https://www.cambridge.org/core/product/identifier/S1357321700001471/type/journal_article File-Function: link to article abstract page File-Format: text/html Handle: RePEc:cup:bracjl:v:13:y:2007:i:2:p:237-256_2 Template-type: ReDIF-Article 1.0 Author-Name: Dexter, N. C. Author-Name: Ford, C. L. Author-Name: Jakhria, P. C. Author-Name: Kelliher, P. O. J. Author-Name: McCall, D. Author-Name: Mills, C. K. Author-Name: Probyn, A. C. Author-Name: Raddall, P. A. Author-Name: Ryan, J. Title: Quantifying Operational Risk in Life Insurance Companies. Developed by the Life Operational Risk Working Party Journal: British Actuarial Journal Pages: 257-337 Issue: 2 Volume: 13 Year: 2007 Month: July Abstract: This paper overviews a practical approach to the assessment of operational risk in life insurance companies. It considers how actuaries, working in conjunction with risk management professionals and senior management, can develop a framework to assess the capital requirements relating to operational risk, taking into account the capital requirements of other risks and their interaction. This paper recognises that we do not live in an ideal world, and that a lot of the data which one might want for operational risk assessment are not, and in some cases never will be, available. Consequently, the approach outlined in this paper takes into account the fact that management and assessment of operational risk is at an early stage of development in the life industry. In addition, it outlines some of the areas where development is necessary or desirable in the coming years. There is a section on the operational risks against which it is appropriate to hold capital. As this is a new area for insurance companies, and given the governance requirements for Individual Capital Assessments, it is important to explain the results effectively to senior management. Therefore, a brief review of techniques for reporting the results of the assessment is provided. The paper concludes with some thoughts on how operational risk management can be embedded more in the business, and then considers what future work will help develop the framework. To echo the thoughts of the authors of the general insurance paper on this topic (Tripp et al., 2004), we hope that the paper will sow seeds for the development of best practice in dealing with operational risk, and will raise the awareness and increase the interest of actuaries in this emerging topic. This paper represents the views of the individuals in the working party, and not necessarily the views of their employers or the Actuarial Profession. File-URL: https://www.cambridge.org/core/product/identifier/S1357321700001483/type/journal_article File-Function: link to article abstract page File-Format: text/html Handle: RePEc:cup:bracjl:v:13:y:2007:i:02:p:257-337_00 Template-type: ReDIF-Article 1.0 Author-Name: Anonymous Title: Quantifying Operational Risk in Life Insurance Companies. Abstract of the Discussion Journal: British Actuarial Journal Pages: 338-357 Issue: 2 Volume: 13 Year: 2007 Month: July Abstract: File-URL: https://www.cambridge.org/core/product/identifier/S1357321700001495/type/journal_article File-Function: link to article abstract page File-Format: text/html Handle: RePEc:cup:bracjl:v:13:y:2007:i:2:p:338-357_4 Template-type: ReDIF-Article 1.0 Author-Name: Anonymous Title: Pension Scheme Funding and Sponsor Covenants. A Discussion Meeting Journal: British Actuarial Journal Pages: 359-374 Issue: 2 Volume: 13 Year: 2007 Month: July Abstract: The abstract of the discussion held by the Institute of Actuaries on 30 October 2006 is printed in British Actuarial Journal, 13, I, 61-80. File-URL: https://www.cambridge.org/core/product/identifier/S1357321700001501/type/journal_article File-Function: link to article abstract page File-Format: text/html Handle: RePEc:cup:bracjl:v:13:y:2007:i:2:p:359-374_5