Rise of the Replicants

Replicating Portfolios

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In an uncertain economy and with volatile markets, the need for more detailed and timely risk information is clear. Meanwhile, regulators are demanding that risk analysis is stochastic, looking at distributions of probabilities over various time horizons. But with liabilities growing ever more complex, especially in the life business, and asset portfolios including an ever wider range of instruments, modelling risk and capital is becoming a considerable challenge. Traditional methods often take

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