A primer in replicating portfolios

Published in: Risk Models, Capital management, Capital Models, Derivatives, Asset management, Expert papers

Companies: Barrie + Hibbert

In his previous three articles in this series, Adam Koursaris looked at different methods that could be used to calculate the solvency capital requirement (SCR) where companies face an inherently nested stochastic problem. He now focuses on the replicating portfolio (RP) technique.

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