TIA’s Advanced Finance/ERM Blog

The last videos are up — a couple worked-out examples of VA guarantee hedging.

In one case (the “full” one), I have a spreadsheet simulation so you can see all the cash flows.

In the other case (the “simple” one), I have a problem that’s more like what could be given on the exam — along with an example of what to do in a multipart problem when you can’t do an early part.

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Sorry about the delay everybody — I was having some technical difficulties.

The case study review is split into two videos; the accompanying notes are attached to the first part. The important thing to remember on the case study is to be familiar with what info is and is not in there, and where to find it.

Also: the info on hedging VA options is new this sitting, so watch out for a question on that!

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