Double No Touch and Other FX Option Strategies for Low Volatility Markets

This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities.

While the final FRTB text has some important changes from the fourth QIS of July 2015, including an extra year for implementation (with a new deadline of January 1st, 2019 for local translation and Dec 31st for latest date for 1st report submission by the financial institutions) and a reduced Residual Risk Add-on—many of the key rules in the framework remain unchanged from prior versions. Derivate market participants are finding the scope and complexity of the framework quite daunting.