AMC: Spread Risk in Balance Sheet Valuation and Projection: Options and Guarantees

As a major risk driver and source of income, spread risk is often overlooked when it comes to the risk neutral valuation of the options and guarantees and the real-world projection for e.g. asset liability management, capital planning or ORSA calculations. In this talk, we will discuss taking the spread risk into account for both valuation and projection.

About the speaker

Dr. Marcel Smith FRM is a principal consultant and one of the founding partners of MavenBlue. Marcel has headed investments and risk at several insurance companies in the Netherlands and abroad and is an expert in financial risk management, asset liability management, product development, operations research, quantitative modelling and parallel computing.