Programme

SEMINAR

24/25 Nov 2014 in Prague

An Introduction to Economic Scenario Generators and their Validation

Monday, 24 November 2014

08:45 - 09:00 Registration
09:00 - 09:15 Welcome and opening (EAA)
09:15 - 10:15 How to Build Your Own ESG: A Blueprint
10:15 - 10:30 Coffe Break
10:30 - 12:00 Modelling Equity and Interest Rates
12:00 - 13:00 Lunch
13:00 - 14:30 Case Study: Main ESG Building Blocks
14:30 - 15:30 Advanced Topic: Dealing with Credit Risks
15:30 - 16:00 Coffe Break
16:00 - 17:00 Variance Reduction, or Enhancing Efficiency
18:30 Dinner (approx.)

Tuesday, 25 November 2014

09:00 - 10:30 Application 1: Solvency II Internal Models and How ESG Make Least Squares Monte Carlo and Accelerated Nested Simulations Happen
10:30 - 10:45 Coffee Break
10:45 - 12:15 Application 2: Dynamic Hedging, Hedge Performance Reporting and How ESG is Integral Part of the Game
12:15 - 13:15 Lunch
13:15 - 14:45 ESG Validation Aspects
14:45 - 15:00 Concluding remarks, closing of seminar (EAA)

Seminar Details

Programme

CPD Credits

Participant Feedback

4.29 of 5 Points

Venue & Accommodation

The seminar will take place at the

Novotel Praha Wenceslas Square,
Katerinska 38, 12000 Prague 2, Czech Republic
Phone: +420 2 21104999
Fax: +420 2 66000250
Hotel website

We arranged special prices for accommodation. The special rate is 80 € per night, including breakfast and VAT. It is valid for bookings by 26 October 2014 out of our allotment “EAA Seminar”. Our allotment includes a limited number of rooms. Kindly book your accommodation directly with the hotel, and note the hotel’s cancellation policy. A booking form is available on our website.

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Sponsor

SUPERIOR Sponsor of the Seminar