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INSIGHTS ON DEMAND
PAST LIVE STREAMS AND PRESENTATIONS
STORM 18: Life Insurance Risk
STORM 18 (presented 6/4/25) is the second of two insurance risk talks. It is the last talk of Season 1 of STORM. This presentation focuses on life insurance risk, the longer-term complement to STORM 17. it begins with defining the basic term and whole life insurance types. The first topic to be modeled is survival, and conditional life expectancies (lifetimes). The second topic is mortality and the (marginal) force of mortality. To conclude the talk, equity-linked life insurance, advanced mortality models, and life settlements are discussed.
STORM 17: Non-Life (P&C) Insurance Risk
STORM 17 (presented 5/21/25) is the first of two insurance risk talks. It focuses on non-life insurance, i.e. property and casualty and related short/medium term considerations. It discusses insurance premium pricing using utility theory, previously introduced in STORM 13. It then covers mixed probability distributions to model claims. A later section discusses the fundamental concepts in ruin theory. The talk concludes with a treatment of insurer tail risk with metrics such as VaR and Expected Shortfall.
STORM 16: Loan Risk (CECL and IFRS 9)
STORM 16 (presented 5/14/25) is about new accounting standards for lenders. It reviews the former ALLL framework, and then moves on to new FASB and IASB methodologies. Loan losses are covered both in frequentist and Bayesian approaches. After explaining that there is no generally accepted definition of default, the talk goes on to discuss the challenges in computing PD. The talk concludes with a discussion of five recent academic papers.
STORM 15: Commercial RE Risk
STORM 15 (presented 4/30/25) discusses the commercial real estate market. It introduces commercial mortgages and compares them with more familiar residential mortgage products. Next, CRE underwriting and securitization are covered. These processes were refined after the GFC. The talk then presents stylized facts of current markets, using examples in two large American cities: Chicago and New York. It concludes with a discussion of five recent academic papers.
STORM 14: Trade Risk
STORM 14 (presented 4/16/25) discusses trade risk, fortuitously at the two week point after the announcement of Trump tariffs. It begins by introducing the risks and losses possible in trade, and how they are managed. It then focuses on the Trump tariffs, and the contemporaneous impacts. First, a case study is provided, showing the dangers to small business. Then, the history of US tariffs is spelled out. Next is a discussion of balance of trade. The talk concludes with possible long term effects of tariffs.
STORM 13: Behavioral Risk
STORM 13 (presented 4/3/25) covers behavioral risk. It starts with the classical viewpoint of utility theory: risk aversion/neutral/seeking. It then moves to Prospect Theory, where loss aversion (commonly confused with risk aversion) is a key concept. It also introduces reference dependence. The remainder of the talk applies behavioral economics to three headline topics: mortgage prepayment, portfolio selection, and climate.
STORM 12: Surety Bond Risk
STORM 12 (presented 3/26/25) discusses sureties. After an introduction to the subject, it focuses on the three main types: contract bonds, court bonds, and license and permit bonds. Topics include contractor performance bonds and their recourse properties, cash bail, and tax bonds. It then covers the pricing and economics of sureties in general. The talk concludes with a case study for each of the three types.
STORM 11: LatAm Risk
STORM 11 (presented 3/12/25) covers Latin American risk. After surveying the five largest Latin American economies, it focus in three separate sections on Brazil, Chile, and Mexico (whose discount curves can be USDMXN dependent). It concludes with a discussion of Latin debt.
STORM 10: Advanced Crypto Risk
STORM 10 (presented 2/26/25) is the third of three talks on digital currency risk, discussing advanced aspects of crypto. After a review of concepts in STORM 9, it goes directly to the lack of intrinsic value in Bitcoin and related currencies. It then moves to Ether, and its decision to move its DLT from POW to POS. This leads naturally to a focus on mutual DL's. Next, it discusses crypto crime, especially ransomware attacks. After summarizing recent regulation (especially IRS Form 1099-DA), it concludes with recent academic papers.
STORM 9: Basics of Crypto Risk
STORM 9 (presented 2/19/25) is the second of three talks on digital currency risk, focusing on the basics of cryptocurrencies. After an introduction with an emphasis on Bitcoin, it discusses the two major distributed ledger technologies. That is, proof of work, and proof of stake. A further section describes crypto markets, types, and compares and contrasts them to equities. Notably, crypto is not correlated strongly with stocks or any other major asset. Next, the talk covers governments: their regulations and (as in STORM 8) CBDCs that themselves are cryptos. The presentation concludes with a listing of academic papers to be discussed in STORM 10.
STORM 8: Digital Currency Risk
STORM 8 (presented 2/12/25) is the first of three talks on digital currency risk. The focus here is on Central Bank Digital Currencies (CBDCs), which usually are not cryptocurrencies. It starts with the Fed's plans for a CBDC in USD. Then, it moves on to discuss global plans for future CBDCs, and a handful of fully launched CBDCs. Notably, Nigeria launched a CBDC which has some aspects of a crypto. The talk concludes with a discussion of six recent academic papers.
STORM 7: Asset-Liability Management Risk
STORM 7 (presented 2/5/25) discusses ALM risk across sectors, including banking, insurance, private pension funds, and governments (e.g., Social Security). It argues that ALM may be subject to the "blind man and the elephant problem" in the absence of any integrated models. As an extension of the 2025 California wildfires discussed in STORM 5, the talk makes a clear distinction between a historical approach to risk versus the forward-looking perspective more common in liquid financial markets. A case study is performed for Silicon Valley Bank. After reviewing banking liquidity stress tests and other regulatory requirements, it concludes with a survey of the literature. The survey comprises four ALM studies, and four ALM models.
STORM 6: Climate Risk Part 2 of 2
STORM 6 (presented 1/22/2025) is the second of two talks on climate risk. Drawing on STORM 5, it analyzes the pricing of catastrophe bonds and weather derivatives. The presentation then moves to the green premium, climate-protecting technology, and a spotlight of US involvement in climate matters over time. The talk concludes with a discussion of seven recent papers on advanced climate matters.
STORM 5: Climate Risk Part 1 of 2
STORM 5 (presented 1/15/2025) is the first of two talks on climate risk. After defining the two basic climate risk types, it discusses two timely case studies: (1) the introduction of congestion pricing in New York City to charge consumers for climate costs, and (2) the news and after effects of the 2025 California wildfires. Then, it covers the roles of governments and international agreements. The talk moves on to financial instruments which can be used to speculate or hedge climate effects. It concludes with resources, including a review of seven recent in-scope papers.
STORM 4: Mortgage Risk
STORM 4 (presented 1/8/2025) discusses the underlying physics of mortgages and mortgage-backed securities. It introduces the complexities of mortgages sequentially, first modeling a simple bullet bond. It then successively adds amortization, prepayment, and credit risks. The talk concludes with the elements of MBS products.
STORM 3: Vendor Software Risk
STORM 3 (presented 12/18/2024) discusses vendors of risk management software. As a one-time salesperson and financial engineer at NumeriX, I inject a personal touch of my life in vendor software. The talk then moves to global financial modeling coding standards, from the Fed/OCC, the UK PRA, and Basel. An open discussion then ensues.
STORM 2: FX and Crosscurrency Risk
STORM 2 (presented 12/11/2024) discusses foreign exchange options and structured notes. It begins by defining FX quoting conventions, and with simple cash products. Then, it covers simple FX derivatives. Succeeding sections analyze more complex products, and how to model them. The talk concludes with a survey from 2023 to the present of important papers on FX forwards, swaps, and derivatives.
STORM 1: Securities Lending Risk
STORM 1 (presented 12/4/2024) discusses the borrowing and lending of equity and fixed income securities. This is the first talk of Season 1 of STORM. It describes in detail the mechanics of the process, the risks (including collateral, counterparty, market, operational), and associated haircuts. It provides the basics of relevant regulation, including SEC Rule 10c-1a. The talk concludes with an examination of eight recent papers and preprints.