Organised by the EAA - European Actuarial Academy GmbH
Over the last decade, the concept of Enterprise Risk Management (ERM) has gained significant momentum in the insurance industry and beyond. This came with the recognition of risk as being something not per se to be avoided, but to be optimally exploited in the frame of a company’s risk appetite. ERM is going beyond traditional risk management in that it is holistic, and encompasses strategic risk management as well as risk culture.
Many of these developments are reflected in regulatory changes, such as the MaRisk in Germany, or the upcoming Solvency II (although these focus on policyholder protection and less on opportunities). Solvency II will require an actuarial and a risk management function in all (re-)insurance undertakings. Actuaries should see this as an opportunity to broaden their role, and to show that they are ideally equipped to carry out these tasks.
Against this backdrop, in November 2009, several actuarial associations launched the CERA credential as a global risk management designation for actuaries. CERA pursues the following goals:
- Strengthen international recognition of the actuarial profession’s enterprise risk management (ERM) expertise
- Promote the development of more actuaries internationally with training in ERM
- Present new opportunities for actuaries worldwide to use their expertise in an expanding range of areas
- Send a strong message to employers and candidates that the skill set of actuaries offers significant risk management expertise
Based on the 2011-implemented education und examination system of the German Actuarial Association, the EAA offers a series of training courses and exams (through DAV) to study for the CERA designation to all actuaries who want to deepen their knowledge in Enterprise Risk Management.
By passing this training and examination course, members of the German Actuarial Association gain their CERA designation. Members of other national actuarial associations have to get in touch with their association to check the possibilities to use the EAA route.
The Seminar. `Quantitative methods of ERM’
The present seminar deals with quantitative methods in ERM; these form an essential part of the CERA syllabus. We begin with an introduction to the modern theory of risk measures. Next we discuss a number of statistical techniques that are highly relevant for the analysis of actuarial and financial data and for the model-building process in risk management. Among others we cover extreme value theory, Bayesian models and credibility theory, dependence modelling and copulas and various aspects of integrated risk management.
The second half of the seminar discusses various aspects of financial mathematics. After a quick revision of the concept of risk-neutral valuation we discuss term structure and credit risk models. Among others, participants will learn how to price simple interest options or Credit Default Swaps and how to account for counterparty risk.
The course 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 quantitative techniques introduced in the lecture and they are a key element in the preparation for the CERA exam.
