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A SQUARE

A SQUARE 05 Sep 2007

Wednesday, September 05, 2007
Innovative modelling from RMS' perspective
  We encourage clients to understand model sensitivity by making it possible to explore how to test assumptions around the severity and frequency of events.
  Some of these inno.

A SQUARE :: 05Sep07 A SQUARE 05 Sep 2007
Category Full A SQUARE issue of the week
Author Sona Blessing
Innovative modelling from RMS' perspective
  We encourage clients to understand model sensitivity by making it possible to explore how to test assumptions around the severity and frequency of events.
  Some of these innovations include:
a) Making modelling comprehensive for the Core perils -- as for example by including detailed inland flooding in hurricane loss modelling, tsunamis in earthquake loss modelling as well as developing physical models of all the potential secondary consequences (what we call Super Cat elements) that can happen in the largest events - such as dam failure following an earthquake, pollution following the rupture of industrial tanks, fires that may spread through a city after earthquakes, windstorms or floods etc.
b) Expanding the domain of modelling to perils such as volcanic eruption and wildfire, and to new risk classes such as disease pandemics, all classes of fire, correlated outbreaks of liability etc.
c) Exploring how to provide a comprehensive perspective of uncertainties in modelling - including the representation of model and parameter error.
d) Exploring catastrophe loss modelling in a future climate.

Transferring catastrophe risk to capital markets
  Transferring catastrophe risk to the capital markets is conceptually similar to transferring credit risk through credit-linked securities. Yet,...
  Simplification of natural catastrophe risk (eg. a hurricane): total cat risk = hazard risk + vulnerability risk + other basis risk.

How do models for natural catastrophes differ from those for terrorism catastrophes?
  The framework used to model terrorism risk is similar to that of natural catastrophes.
  A common misconception is that there is very little data with which to build a US terrorism model due to the fact there have only two major successful jihadist attacks on US soil (1993 World Trade Center bombing and the 9/11 attacks). However, RMS has collected a significant body of data for use in building a terrorism model for the US.

First State Global Listed Infrastructure Fund
  A long only fund that will invest in listed infrastructure securities from around the globe:
  It will invest in listed infrastructure securities from around the globe:
: primarily toll roads, airports, utilities and pipelines in developed countries
: focuses on assets with barriers to entry, pricing power and predictable cash flow
Managed against a benchmark: the S&P Global Infrastructure Index

"Volatility can make your P&L smile"
  Most prudent traders will always be long “the wings” and long “teenies” which means having long positions in far out of the money options that are nearly worthless but can be become very valuable once markets start to become erratic.
  Discipline is the key here. Sometimes trading very diverse assets or products may seem to offer exceptional margin. But margin needs to be scaled by risk. If one loses the discipline to do so - it's usually the first step over the cliff

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