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vbprogrammer
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Posts: 306
Joined: December 8th, 2003, 7:28 pm

Life policy trading desk.

June 13th, 2009, 6:37 pm

What exactly does this group do? It is a part of a bank that I shall interview soon. I was under the impression that the group is into i.r derivatives.
 
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MartingaleBuster
Posts: 66
Joined: September 29th, 2005, 5:57 pm

Life policy trading desk.

June 13th, 2009, 9:53 pm

What is the role vb? Life Policy desk is probably a lot like a structured credit or a bank loan trading desk... expect with lives rather than mrtgages or loans, bonds etc....
 
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vbprogrammer
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Joined: December 8th, 2003, 7:28 pm

Life policy trading desk.

June 14th, 2009, 7:01 pm

QuoteOriginally posted by: MartingaleBusterWhat is the role vb? Life Policy desk is probably a lot like a structured credit or a bank loan trading desk... expect with lives rather than mrtgages or loans, bonds etc....I honestly don't know much. seems like a structured product job as you mentioned but it is a sub group of the IRD group.
 
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jomni
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Joined: January 26th, 2005, 11:36 pm

Life policy trading desk.

June 16th, 2009, 12:18 am

Trading Life Insurance Policies?
 
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accelas
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Joined: September 24th, 2008, 5:53 am

Life policy trading desk.

June 16th, 2009, 11:11 pm

Sounds like senior life settlement. it's basically a life insurance policy from senior. I was told a lot of these polices terminates prematurely, because 1) people can't pay the premium anymore, 2) people no longer wants them. An investor could buy these policies at deep discount, then keep paying the premium until the person is dead. At which point the investor collects the claim. These investment are supposedly have moderate return and highly UNcorrelated with equity market.
 
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vbprogrammer
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Joined: December 8th, 2003, 7:28 pm

Life policy trading desk.

June 17th, 2009, 3:37 pm

QuoteOriginally posted by: accelasSounds like senior life settlement. it's basically a life insurance policy from senior. I was told a lot of these polices terminates prematurely, because 1) people can't pay the premium anymore, 2) people no longer wants them. An investor could buy these policies at deep discount, then keep paying the premium until the person is dead. At which point the investor collects the claim. These investment are supposedly have moderate return and highly UNcorrelated with equity market.thank you. So the job would entail forecasting the probability of death, the correlation of the couples mortality rates and the cash flow analysis? Does not seem to be very hard or for that matter interesting. why would they need quants for this role?
 
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EscapeArtist999
Posts: 1620
Joined: May 20th, 2009, 2:49 pm

Life policy trading desk.

June 17th, 2009, 4:53 pm

One thing you should bear in mind is that many of these insurance products involve many underlyings (or lives) or there is a portfolio of these at the bank which need to be modelled - Life, just like structured credit is probably a lot more IT programming than "quant work" - Many of the top banks have people who are essentially qualified to do quant work (whatever the f-k that really means) doing high level QD work for quant pay...
 
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katastrofa
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Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Life policy trading desk.

June 17th, 2009, 6:09 pm

"Sounds like senior life settlement. it's basically a life insurance policy from senior. I was told a lot of these polices terminates prematurely, because 1) people can't pay the premium anymore, 2) people no longer wants them. An investor could buy these policies at deep discount, then keep paying the premium until the person is dead. At which point the investor collects the claim."I don't know, but this stuff gives me shivers.
 
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vbprogrammer
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Joined: December 8th, 2003, 7:28 pm

Life policy trading desk.

June 17th, 2009, 7:17 pm

QuoteOriginally posted by: katastrofa"Sounds like senior life settlement. it's basically a life insurance policy from senior. I was told a lot of these polices terminates prematurely, because 1) people can't pay the premium anymore, 2) people no longer wants them. An investor could buy these policies at deep discount, then keep paying the premium until the person is dead. At which point the investor collects the claim."I don't know, but this stuff gives me shivers.I did some search on the web and found some articles offering different view points. It is what you just said and is becoming popular with the banks. Sort of novel idea and there are articles which promote this business sense of banks as well. Still from pure quant stand point, it does look lot more of QD rather than QR (research)
 
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katastrofa
Posts: 8746
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Life policy trading desk.

June 17th, 2009, 8:59 pm

I wonder how do you hedge this thing, with a cyanide capsule in grandpa's coffee?
 
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MatthewM
Posts: 416
Joined: December 17th, 2007, 12:49 pm

Life policy trading desk.

June 17th, 2009, 9:02 pm

Buy golf courses and real estate in Florida.
 
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Paul
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Joined: July 20th, 2001, 3:28 pm

Life policy trading desk.

June 17th, 2009, 9:35 pm

Look into 'viaticals.' There's a chapter in PWOQF2 on them, and also in our magazine a few years ago.P
 
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vbprogrammer
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Posts: 306
Joined: December 8th, 2003, 7:28 pm

Life policy trading desk.

June 18th, 2009, 4:24 am

QuoteOriginally posted by: PaulLook into 'viaticals.' There's a chapter in PWOQF2 on them, and also in our magazine a few years ago.PthanksWhat is viaticals? I shall search the books forum to look for that article. Meantime if someone has a copy please upload.
Last edited by vbprogrammer on June 17th, 2009, 10:00 pm, edited 1 time in total.
 
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katastrofa
Posts: 8746
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Location: Alpha Centauri

Life policy trading desk.

June 18th, 2009, 5:49 am

QuoteOriginally posted by: MatthewMBuy golf courses and real estate in Florida.Then you need to hedge the real estate exposure, not good.
 
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MatthewM
Posts: 416
Joined: December 17th, 2007, 12:49 pm

Life policy trading desk.

June 18th, 2009, 5:57 am

Wasn't somebody trying to start a macro market in the case-schiller index? You can short the nationwide index to take on Fl and golf course peculiar risk, which should be strongly responsive to retiree lifespans. The extent of the correlation should be an empirical matter. Perhaps it's a poor hedge. I have no data, so it's just a thought.
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