Modelling Extreme Market Events. A Report of the Benchmarking Stochastic Models Working Party

Frankland, R.; Smith, Andrew; Wilkins, Trevor; Varnell, Elliot; Holtham, A.; Biffis, Enrico; Eshun, S.; Dullaway, D. W.

doi:10.1017/s1357321700005468

Cited by 13 publications

(9 citation statements)

References 18 publications

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“…The skewness of S&P500 is negative, which is commonly observed in the stock market [11]. S&P500 and CSI exhibit excess kurtosis, implying drastic fluctuations of markets [11,12].…”

Section: Datamentioning

confidence: 88%

Real Estate Soars and Financial Crises: Recent Stories

et al. 2018

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This paper studies the contribution of real estate bubble to a financial crisis. First, we document symptoms of a real estate bubble along with a slowdown of the real economy and find indicators of an imminent crash of the stock market, triggering a sense of déjà vu from the 2008 crisis. However, we show that the relationship between real estate and financial markets has changed since the crisis. The empirical analyses provide evidence that the monetary policy has recovered its control over mortgage rates, which had been lost prior to the global financial crisis, and that the real estate market does not have a Granger causality relationship with the stock market any more. Findings suggest that an imminent financial market crash is not likely to be catalyzed by a real estate bubble.

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“…The skewness of S&P500 is negative, which is commonly observed in the stock market [11]. S&P500 and CSI exhibit excess kurtosis, implying drastic fluctuations of markets [11,12].…”

Section: Datamentioning

confidence: 88%

Real Estate Soars and Financial Crises: Recent Stories

et al. 2018

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“…The theory is that there will be convergence on the right answer without the bias towards the views of the most respected/senior/loudest. 4.3.4 Recent research includes the "Modelling Extreme Market Events'' sessional paper by Frankland et al (2009).…”

Section: 33mentioning

confidence: 99%

“…6.4.5.5 A number of consultancies have produced industry surveys into the assumptions used for ICAS. 6.4.5.6 The Institute of Actuaries Sessional Meeting on modelling extreme market events Frankland et al (2009) is also a good reference on setting 1-in-200 shocks within an internal model framework .…”

Section: Benchmark Datamentioning

confidence: 99%

Actuarial Aspects of Internal Models for Solvency II

Brooks¹,

Care²,

Chaplin³

et al. 2009

Br. Actuar. J.

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The draft paper sets out the authors' views of what good practice for the actuarial aspects of internal models will look like in 2012, the year Solvency II is expected to be implemented. Actuaries working on internal models can expect to have to follow such practices if their internal models are to be approved for use in calculating regulatory capital. The paper is therefore relevant for actuaries who plan to work on internal model implementation for Solvency II.Moreover, the risk quantification techniques discussed in the paper can also be used in the Own Risk Solvency Assessment (ORSA) process also required by Solvency II. The paper is therefore relevant to actuaries working in companies that are not planning to apply to use an internal model.The paper covers both life and non-life insurance and reinsurance, and reviews current practice as well as setting out possible future practice. This leads to identification of areas for research by the Profession to prepare for 2012 and an indication of the directions this work might take.The paper is effectively a work in progress, and readers should ask themselves what they should do in response to the ideas discussed.

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“…2 N. Abourashchi et al The methods that we employ capture three key features of the data that recent market conditions have highlighted. First, we allow for the fat-tailed nature of asset returns, particularly on the downside, that has been so clearly revealed in recent years (Frankland et al 2008). Second, we recognise that discount rates change over time (Cochrane 2011).…”

Section: Introductionmentioning

confidence: 99%

Pension plan solvency and extreme market movements: a regime switching approach

Abourashchi

Clacher

Freeman

et al. 2014

The European Journal of Finance

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Modelling Extreme Market Events. A Report of the Benchmarking Stochastic Models Working Party

Cited by 13 publications

References 18 publications

Real Estate Soars and Financial Crises: Recent Stories

Real Estate Soars and Financial Crises: Recent Stories

Actuarial Aspects of Internal Models for Solvency II

Pension plan solvency and extreme market movements: a regime switching approach

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