4 - 6 Mar 2015 in Cologne
CERA, Module: Quantitative Methods of ERM
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:
Based on the 2011-implemented education und examination system of the German Actuarial Association (DAV), 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 actuarial associations have to get in touch with their association to check the possibility 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.
The seminar 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.
During this seminar, you will not need a laptop.
Purpose and Nature
This seminar is one part in a course that consists of six modules. They can be booked as a whole series to fulfil the requirements for receiving the CERA designation, or individually as CPD training. Written exams on the course are offered subsequently.
Please contact your actuarial association regarding the recognition of the seminars and the exams. The national association has to be an Award Signatory of the CERA Global Association so that an actuary who passes this course may receive the CERA credential.
Rüdiger FreyRüdiger Frey is Professor of Mathematics and Finance at 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 coauthor of the popular book "Quantitative Risk Management: Concepts Techniques & Tools" (Princeton University Press 2005), 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 WolfSince 2005, Jochen Wolf has been Professor for Mathematics and Economics at the Hochschule Koblenz. Before that 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. Professor Wolf is actively involved in the actuarial education at the German actuarial association (DAV).
Venue & Accommodation
The seminar will take place at the
Mercure Hotel Severinshof Koeln CitySeverinstraße 199, 50676 Cologne, GermanyPhone: +49 221 2013Fax: +49 221 2013666Hotel website
We arranged special prices for accommodation. The special price is 102 € per night, including breakfast. It is valid for bookings by 2 February 2015 out of our allotment “EAA”. Kindly book your accommodation as soon as possible directly with the hotel, as our allotment includes only a limited number of rooms, and note the hotel’s cancellation policy.
The CERA exams are organised by the Deutsche Aktuarvereinigung e. V. (German Association of Actuaries) in German and English.
For further information and exam registrations, please contact Tim Kampmann at
firstname.lastname@example.org. If this would be your first CERA exam, please kindly send a certificate confirming that you are a full member of your actuarial association via e-mail in addition.