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Market Risk Actuarial Science

Our market risk actuarial science experts use market risk measurement and management techniques in order to price fixed income securities, quantify volatility exposures, build term structure models, measure Value-at-Risk, Expected Shortfall and several other coherent measures, model dependence using of correlations and copulas, parametric and non-parametric estimation methods, and value exotic options and mortgage backed securities  


  • Fixed Income Valuation

  • Mortgage and Mortgage-Backed Security (MBS) Valuation

  • VaR Mapping, Backtesting VaR, Estimating ES and Oher Coherent Risk Measures

  • Implementation of Parametric (EVT) and Non-Parametric Methods of Estimation

  • Modeling Dependence using Correlations and Copulas

  • Quantifying Volatility Exposure using Smile and Term Structure

  • Exotic Option Valuation

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