Real-World Market Risk Scenario: Calibration & Practical Applications

Introduction & Programme

Real-world scenarios are a central tool for insurers managing market risk. By simulating developments in interest rates, inflation, equity markets and other relevant factors, they enable insurers to assess the potential outcomes of their strategies and put those outcomes into a probabilistic context. They are used, among other applications, in Solvency II risk capital calculations and asset-liability management (ALM).

This web session focuses on the practical calibration and application of real-world scenarios. It addresses input data selection and calibration targets, assumptions about marginal distributions, data frequency and annualisation, and the modelling of dependencies through correlation measures, copulas and tail dependence. We will also discuss selected specialist modelling considerations, efficient Monte Carlo simulation and approaches to model validation, illustrating methodological trade-offs with examples.

Preliminary Programme
Thursday, 18 March 2027
09:30–11:00 Introduction and applications (Solvency II, ALM); data selection, calibration targets, marginal distributions and annualisation
11:00–11:30 Break
11:30–13:00 Special modelling considerations; copulas, correlations and tail dependence; Monte Carlo simulation and validation
All times are given in CET (Central European Time).

Learning Objectives & Approach

By the end of the session, participants should be able to:

• Explain key uses of real-world scenarios in Solvency II, ALM and market risk management.
• Evaluate the selection of input data, calibration targets, marginal distributions, data frequency and annualisation methods.
• Compare alternative approaches to dependency modelling, including correlation metrics, copulas and tail dependence.
• Discuss dimensionality reduction, spread hierarchies, functional dependencies, Monte Carlo simulation and model validation.

The session combines conceptual foundations with practical insurance applications. Examples will be used to illustrate how methods differ, including their relative strengths and limitations.

Participants

The web session is intended for actuaries and quantitative risk professionals in the insurance industry who work with or are interested in real-world scenarios, particularly for risk management, Solvency II, ALM and scenario analysis. It is suitable both for newcomers seeking a practical introduction and experienced users looking to compare modelling approaches.

Basic statistical knowledge is expected, in particular familiarity with probability distributions, statistical measures and statistical inference. Relevant concepts will be revisited and placed in the context of scenario calibration.

Technical Requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training). Please also make sure to join the web session with a stable internet connection.

Lecturers

Daniel Teetz
Daniel is a Principal at Oliver Wyman Actuarial in Germany. He advises insurance companies on quantitative risk management, with a particular focus on market and climate risks. He has extensive practical experience in quantitative market risk methods and has supported major European insurers in developing and maintaining internal market risk models. Daniel holds degrees in Physics and Mathematics from RWTH Aachen and LMU Munich, is a CFA charterholder and holds the Sustainability and Climate Risk (SCR) Certificate from the Global Association of Risk Professionals (GARP).

Tom Huber
Tom is a Manager at Oliver Wyman Actuarial in Germany. He advises insurers on quantitative methods for assessing market and credit risks and risk aggregation. His experience includes risk aggregation, real-world scenario calibration, proxy methods and the use of generative adversarial networks (GANs) in this context. Tom holds a Master’s degree in Business Mathematics from the University of Ulm, with a focus on actuarial science and machine learning. He is further a fully qualified Actuary recognized by the German Actuarial Association (DAV).

Language & CPD Credits

The language of the web session will be English.

CPD Credits
For this web session, the following CPD credits are available under the CPD scheme of the relevant national actuarial association:

• Austria: 3 points
• Belgium: 3 points
• Bulgaria: 4.5 points
• Croatia: individual accreditation
• Czechia: 3 hours
• Denmark: 3 credits
• Estonia: 3 hours
• Finland: 3 points
• France: 18 points
• Germany: 3 hours
• Greece: 4 points
• Hungary: 3 hours
• Iceland: 3 credits
• Ireland: 3 hours
• Italy: GdLA individual accreditation
• Latvia: 3 hours
• Lithuania: 3 hours
• Netherlands: approx. 3 points (individual accreditation)
• Norway: 3 points
• Poland: 3 hours
• Portugal: 3 hours
• Serbia: 3 hours
• Slovakia: individual accreditation
• Slovenia: individual accreditation
• Spain: CAC: 3 hours, IAE: 3 hours
• Switzerland: individual accreditation
• USA: SOA (Section B): up to 3.6 hours

No responsibility is taken for the accuracy of this information.

Fees & Registration Details

Early Bird Registration Fee (until 4 February 2027):

• For private customers in the EU: €240.00 + VAT of the billing country (example Germany: €285.60 incl. 19% VAT)
• For private customers outside the EU: €285.60 (incl. 19% VAT)• For businesses within the EU (excl. Germany, with valid VAT ID): €240.00 (net, reverse charge applies)
• For businesses in Germany: €285.60 (incl. 19% VAT)

Regular Registration Fee (from 5 February 2027):

• For private customers in the EU: €315.00 + VAT of the billing country (example Germany: €374.85 incl. 19% VAT)
• For private customers outside the EU: €374.85 (incl. 19% VAT)
• For businesses within the EU (excl. Germany, with valid VAT ID): €315.00 (net, reverse charge applies)
• For businesses in Germany: €374.85 (incl. 19% VAT)

Important VAT Information:

• For private customers with a billing address in an EU country: VAT will be charged at the applicable rate in the country of the billing address. The final amount, including VAT, will be calculated upon invoicing.
• For customers with a non-EU (third country) billing address: Only a non-company billing address is accepted for VAT compliance reasons. 19% VAT applies to all non-EU private customers.
• For businesses within the EU (excluding Germany), Iceland, Liechtenstein, Norway, Switzerland, and the UK with a valid VAT ID: The reverse charge mechanism applies (net price; VAT will not be charged). Please ensure your valid VAT ID is entered correctly during registration.
• For all customers with a billing address in Germany: 19% VAT applies.

Please submit your registration using our online form below. Closer to the event, you will receive further login details to join the web session.

Your registration is binding. Cancellation is only possible up to 2 weeks before the first day of the event. If you cancel later, the full participation fee is due. You may appoint someone to take your place but must notify us in advance. EAA has the right to cancel the event if the minimum number of participants is not reached.

We will send you an invoice via email. Please allow a few days for handling. Please always give your invoice number when you effect payment. All bank charges are to be borne by the participant.

Registration is open until two working days before the web session. If registration has already been closed for this web session, please call us or send an email to contact@actuarial-academy.com in order to find out whether a late registration is still possible.