Life Settlements and Longevity Structures: Pricing and Risk Management
| Author | : | |
| Rating | : | 4.50 (808 Votes) |
| Asin | : | 0470741945 |
| Format Type | : | paperback |
| Number of Pages | : | 274 Pages |
| Publish Date | : | 2014-02-11 |
| Language | : | English |
DESCRIPTION:
Structured products and securitisation techniques are introduced and explained, starting with simple vanilla products and models before illustrating some of the investment structures associated with life settlements. It then reviews hedging and risk management strategies and considers how to measure the effectiveness of risk mitigation. . This book provides readers of all levels of experience with essential information on the process surrounding the acquisition and management of a portfolio of life settlements; the assessment, modelling and mitigation of the associated longevity, interest rate and credit risks; and practical approaches to financing and risk management structures. Recent turbulence in the financial markets has highlighted the need for diversified portfolios with lower correlations between the different investments. It begins with the history of life insurance and looks at how the need for new financing sources has led to the growth of the life settlements market in the United States.The authors provide a detailed exploration of the mathematical formulae surrounding the generation of mortality curves, drawing a parallel between the tools deployed in the credit derivatives market and those available to model longevity risk. The last section of the book covers derivative products, either a
While at Mizuho, Mark also founded the Institutional Life Markets Association (ILMA), which has become the leading trade association for institutional participants in the life settlements and premium finance markets. He has also has experience at other major Investment Banks, including Banc One and Nomura, Japan's largest B
At Chase Manhattan Bank he was the prime developer of Chase's REALM system, a risk management and derivatives pricing system, which was used, by Chase Manhattan Bank and over 200 clients around the world. Mark joined Mizuho in 2000 with two colleagues to co-found Mizuho™, Structured Credit Products Group, which completed US$3 billion in synthetic US high yield CDOs. From 1993, Mark worked for Credit Suisse First Boston and Credit Suisse Financial Products and was based in Hong Kong, London, New York and Tokyo over this period, specialising latterly in credit derivatives and synthetic CDOs. He has also published many articles in Risk, the Journal of the Institute and Faculty of Actuaries, and others, speaks regularly at conferences and is the author of “Credit Derivatives: Risk management, Trading and Investing” published by John Wiley & Sons Ltd, 2005.MARK VENN isManaging Director