Thursday, 10th and Friday, 11th December 2020
Announcements from the European Actuarial Academy organiser:
The European Actuarial Academy is one of the main providers of actuarial education – especially when it comes to Enterprise Risk Management (ERM). The concept of ERM has gained significant momentum in the insurance industry and beyond.
We offer a series of four training courses and exams (through DAV) to all actuaries who want to deepen their knowledge in Enterprise Risk Management and gain the international ERM-credential CERA. The defining characteristics of the CERA-credential as offered by the European Actuarial Academy are:
• Provides the most comprehensive and rigorous training in ERM • Is a fast-growing globally-recognised credential • Combines a range of business and professional skills with the mathematics of finance and risk • Equips risk management professionals to empower better business decisions and more profitable business development • Has a wide range of applications in insurance and finance, and well beyond • Is supported by actuarial associations worldwide • Is recognised and transferable internationally • Has a rigorous and advanced curriculum underpinned by actuarial science, with an emphasis on ERM and professionalism • Offers career choices outside the traditional actuarial markets
The Web Session A Refresher Course in Financial Mathematics and Risk Measurement The web session gives an introduction to modern financial mathematics, derivative pricing and risk measurement. It is designed to prepare actuaries without adequate training in these fields for the quantitative parts of the CERA education. The online training is moreover an ideal learning opportunity for actuaries who want to get acquainted with or refresh their knowledge in these highly relevant fields.
The web session begins with a repetition of basic concepts in probability theory including characteristics of random variables such as moments and quantiles. In this context we will also introduce important distribution-based risk measures such as VaR and Expected shortfall. In order to prepare the analysis of dynamic financial models we introduce the idea of conditional expectations, we discuss stochastic processes in discrete time. The session continues with an introduction to financial mathematics. We study risk neutral valuation and the hedging of derivatives in discrete-time models. The last part of the web session is devoted an introduction to financial mathematics in continuous time. Topics covered include stochastic processes in continuous time such as Brownian motion and the Ito formula, the Black Scholes model and the pricing and hedging of simple stock and bond options. The online seminar consists of lectures interspersed by short exercise sessions.
The web session is open to all persons who are interested in deepening their quantitative skills in the fields of financial mathematics and risk measurement.
The 1.5 day online seminar serves a double purpose. On the one hand, it is a bridging course designed to prepare actuaries with a more qualitative background for the quantitative parts of the CERA education. On the other hand, it is an independent refresher course for actuaries wanting to brush up their quantitative skills in the fields of financial mathematics and risk measurement.
This web session is not a formal part of the CERA education. Please visit www.ceraglobal.org for more information on the CERA designation.
Your early-bird registration fee is € 450.00 plus 16 % VAT until 10 October 2020. After this date the fee will be € 520.00 plus 16 % VAT. Click here to make a reservation
Thursday, 10 December 2020
- Introduction and welcome (EAA)
- Probability Theory and Elementary Risk Measures
- Probabilistic Tools for Dynamic Financial Models and Discrete Stochastic Processes
- Risk Neutral Valuation 1
Friday, 11 December 2020
- Risk Neutral Valuation 2
- Tools for Continuous-Time Finance
- Tools for Continuous-Time Finance
- The Black Scholes Model and Applications
Rüdiger Frey is Professor of Mathematics and Finance at the Vienna University of Economics and Business (WU). Prior to that, he held positions as Professor of Optimization and Financial Mathematics at the University of Leipzig and various academic positions at the University of Zurich and at the Federal Institute of Technology (ETH) in Zurich. He holds a diploma in mathematics from the University of Bonn where he received his PhD in financial economics in 1996. His main research fields are quantitative risk management, dynamic credit risk models and the pricing and hedging of derivatives under incompleteness and market frictions. Rüdiger has published research papers in leading international academic journals and has given seminars at a number of important international conferences and institutions. He is coauthor of the popular book "Quantitative Risk Management: Concepts Techniques & Tools" (Princeton University Press, second edition 2015), which was rated as one of the Top 10 Technical Books of 2006 on Financial Engineering, by Financial Engineering News. Rüdiger has also been involved in consulting projects for Swiss and German insurance companies and banks and is frequently giving practitioner training courses.
Since 2005, Jochen Wolf has been Professor for Mathematics and Economics at the Hochschule Koblenz. Before, he worked for several years at the German financial supervisor BaFin where he was responsible for various aspects of insurance supervision. At BaFin he was also involved in the Solvency II project. Prior to joining BaFin, Prof. Wolf held various research positions in stochastic analysis at Universität Jena and at the Université Paris-Nord. He holds a diploma in mathematics from the Universität Mainz and a doctorate in mathematics (focus probability) from the Universität Jena. Professor Wolf is actively involved in the actuarial education at the German actuarial association (DAV).