EAA Web Session: An Introduction to Economic Scenario Generators and their Validation

The Economic Scenario Generators are at the core of stochastic models used by insurance companies. The applications of stochastic models are very diverse and include such applications as economic capital under Solvency II, ALM projections, dynamic hedging etc. All these applications impose different requirements upon the generation and the validation of economic scenarios.

In the web session, we begin by discussing the principles of risk-neutral modelling, where we are going to focus on equity modelling and interest rate modelling. We proceed by discussing real-world capital market modelling. Finally, we talk about ESG validation aspects relevant for Solvency 2 work and other applications.

This course has been developed for professionals who are interested in Economic Scenario Generators because they deal with one or more applications of those and who are familiar with the basic concepts of financial maths. In-depth knowledge of capital market models is clearly NOT a pre-requisite, as the content does not aim at ESG experts.

Registration deadline: 10 March 2022