Emerging market exchange rates

The recent political turmoil in Crimea and the resulting trade sanctions led to reports of significant movements in the Russian Rouble.  The news prompted us to review the history of one-year foreign exchange rate movements for the Rouble along with a number of the high-growth economies to see whether they had proved more volatile on… Continue reading>

PPO Liabilities: modelling mortality risks

There are a lot of uncertainties inherent in the valuation and capital modelling of Periodical Payment Order (“PPO”) liabilities.  Not only is there no perfect hedge for the inflation indices applied to them, there is also very limited data upon which to base mortality models. While much has been written on the challenges presented by… Continue reading>