An Introduction to Economic Scenario Generators and their Validation

Are you interested in Economic Scenario Generators? Do you deal with one or more applications, and are you familiar with the basic concepts of financial maths?



If yes, the EAA's seminar “An Introduction to Economic Scenario Generators and their Validation" which is organised in co-operation with the Österreichische Förderungsgesellschaft der Versicherungsmathematik (ÖFdV) GmbH on 7/8 March 2019 in Vienna, Austria, is perfect for you!



In the seminar, they will begin by describing random number simulation techniques, which underpin ESG work. They will also talk about variance reduction techniques, which improve the efficiency / the precision of stochastic modelling. We move on to discuss risk-neutral equity modelling and interest rate modelling. They will conclude the program on day one by considering real-world scenario generation.



On day two, they will talk about ESG validation aspects before moving on to the ESG applications. First, they will introduce the ESG Rebasing technology, which allows the users to produce univariate and combined stress scenarios by recycling their baseline ESG package. They will continue by discussing a case study of a UK Internal Model Firm, which has implemented Daily Solvency Monitoring to operationalize their Solvency II calculations for risk management purposes.



The early-bird registration fee is € 840.00 plus 20% VAT and valid until 21 January 2019. After this date the fee will be € 990.00 plus 20% VAT.



You may find all additional information in this print version as well as on the EAA's website where you will find the registration form. An overview on other upcoming events can be downloaded as well.