Veröffentlichungen im Veranstaltungskalender:
Bitte senden Sie dieses Formular ausgefüllt an office(at)avoe.at.
EAA: "Economic Scenario Generators Part II: Advanced Seminar for ESG Practitioners"
Dezember 5-6, 2019 All Day
"In the seminar, we begin by providing a broad overview of current ESG topics and their challenges. We then discuss credit risk models and good practices of their calibration. Next, we discuss risk-neutral multi-currency modelling from both theoretical and operational viewpoints. We conclude Day 1 by an introduction to inflation modelling and a corresponding case study.
On Day 2, our emphasis will be on practical aspects of interest rate model calibration relevant in Solvency II context. Firstly, we will examine the volatility calibration challenges arising from the mismatch between the EIOPA-prescribed yield curves and the market yield curves used by quotation platforms. Secondly, we will show 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. We will conclude the seminar by a Least Squares Monte Carlo case study. "