Economic Scenario Generators Part II: Advanced Seminar for ESG Practitioners

Event Type

5th & 6th December 2019

Vienna, Austria

Would you like to get a broad overview of current ESG topics and their challenges?

Would you like to discuss credit risk models and good practices of their calibration?

Would you like to learn about risk-neutral multi-currency modelling from both theoretical and operational viewpoints’?

Would you like to examine the volatility calibration challenges arising from the mismatch between the EIOPA-prescribed yield curves and the market yield curves used by quotation platforms?

Would you like to know how to determine which points of the volatility surface are particularly relevant for a life insurance portfolio and how to emphasize these points in the calibration process?

If yes, our seminar "Economic Scenario Generators Part II: Advanced Seminar for ESG Practitioners" which is organised in co-operation with the Österreichische Förderungsgesellschaft der Versicherungsmathematik (ÖFdV) GmbH on 5/6 December 2019 in Vienna, is perfect for you.

These are the topics of the seminar:

  • Introduction to Economic Scenario Generators and their challenges
  • Credit Risk Models and how to calibrate them
  • Multi-Currency Framework: Modelling Dynamics of FX Rates
  • Inflation Modelling introduction and Case Study
  • Fixed Income Volatility Calibration Challenge 1: EIOPA Nominal Yield Curve is not the market curve
  • Fixed Income Volatility Calibration Challenge 2: Some vol surface points are more relevant than others
  • Case Study: ESG and Least Squares Monte Carlo Proxy Modelling

The early-bird registration fee is € 840.00 plus 20% VAT and valid until 5 October 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 our website where you will find the registration form. An overview on other upcoming events can be downloaded as well.