CERA, Module 0: Quantitative Methods for ERM – A Bridging and Refresher Course
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 Solvency II (although these focus on policyholder protection and less on opportunities). Solvency II requires 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.
The Seminar Quantitative Methods for ERM - a Bridging and Refresher Course
The seminar begins with an introduction to risk measures. We will treat Value at Risk and expected shortfall and we give an introduction to the modern theory of coherent risk measures. In order to prepare the analysis of dependent risks we next discuss basics of multivariate modelling. The seminar continues with an introduction to financial mathematics. We begin by studying risk neutral valuation and the hedging of derivatives in discrete-time models, followed by an introduction to financial mathematics in continuous time. Topics covered include Brownian motion and the Ito formula, the Black Scholes model and the pricing of simple stock and bond options.
The seminar 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 qualitative and quantitative techniques introduced in the lectures.
Organised by the EAA - European Actuarial Academy GmbH in cooperation with the Collegi d’Actuaris de Catalunya.