We outline the valuation process for a No-Negative Equity Guarantee in an Equity Release Mortgage loan and for an Equity Release Mortgage that has such a guarantee. Illustrative valuations are provided based on the Black '76 put pricing formula and mortality projections based on the M5, M6 and...

The Bank of England maintains that banks in the United Kingdom are strongly capitalised, but there is ample evidence from banks’ share prices and market values that contradicts this claim. Banks are more fragile now than they were going into the last crisis, and the Bank of England’s failure...

As the UK economy enters the COVID-19 downturn, the Bank of England (BoE) continues to maintain that the UK banks are strongly capitalised. Yet there is considerable evidence that they are anything but. The core metrics of the Big Five UK banks have deteriorated sharply since the New Year, and...

Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such a model is unsuitable for contingent claim valuation because it violates even the weakest...