CERA, Module A: Quantitative Methods of ERM
Announcement from the EAA organiser:
The 3-day web session assists actuaries in broadening their knowledge about modern quantitative financial and actuarial modelling; these topics form an essential part of the CERA syllabus. At the beginning of the online training we give a brief overview of the EAA-route to the CERA designation. The core part of the web session begins with an introduction to the modern theory of risk measures. Next, a number of statistical techniques are discussed, that are highly relevant for the analysis of actuarial and financial data and for the model-building process in risk management. Among others, we will consider extreme value theory, dependence modelling, copulas, and various aspects of integrated risk management. The training continues with an introduction to the modelling and the management of interest rate and credit risk. In particular, participants will learn how to price simple interest options or Credit Default Swaps, how to compute risk measures for a bond portfolio, and how to account for counterparty risk.
The web session consists of lectures and exercise sessions. In fact, exercise sessions, where various exercises and supplementary examples are discussed, form an integral part of the seminar: they help the participants to understand the qualitative and quantitative techniques introduced in the lectures, and they are a key element in the preparation for the CERA exam.
The web session is open to all persons who are interested to obtain comprehensive skills on Enterprise Risk Management. Given the fairly quantitative nature of the material discussed, participants should be familiar with basic results of modern statistics, actuarial and financial mathematics. We recommend that participants with weaker quantitative skills do some preparatory reading, using for instance the slides and lecture notes of the course.
On 14 February 2022, 10:00-10:30 CET, there will be a test session offered to all registered participants to test the software. This test session is mandatory.
Technical requirements:
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom is used for the web session). Please also make sure that you are joining the web session with a stable internet connection.
Register online by 10 January 2022 and benefit from the attractive early-bird registration fee of € 975.00 plus 19% VAT for registrations. After this date, the fee will be € 1,080.00 plus 19% VAT.
Please find all additional information on our website.
Rüdiger Frey
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 co-author 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.
Jochen Wolf
Since 2005, Jochen Wolf serves as 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. Jochen Wolf is a member of the German Actuarial Association (DAV) and a CERA-holder. He is actively involved in the actuarial education at the German actuarial association (DAV).