5th & 6th December 2019
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.