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SEMINAR

5/6 Dec 2019 in Vienna

Economic Scenario Generators Part II: Advanced Seminar for ESG Practitioners

Thursday, 05 December 2019

  1. 08:45 - 09:00 Registration
  2. 09:00 - 09:15 Introduction & welcome (EAA)
  3. 09:15 - 10:30 Introduction to Economic Scenario Generators and Their Challenges
  4. 10:30 - 10:45 Coffee Break
  5. 10:45 - 12:30 Credit Risk Models and How to Calibrate Them
  6. 12:30 - 13:30 Lunch
  7. 13:30 - 15:00 Multi-Currency Framework: Modelling Dynamics of FX Rates
  8. 15:00 - 15:15 Coffee Break
  9. 15:15 - 17:00 Inflation Modelling Introduction and Case Study
  10. 18:30 Dinner (approx.)

Friday, 06 December 2019

  1. 09:00 - 10:30 Fixed Income Volatility Calibration Challenge 1: EIOPA Nominal Yield Curve is not the Market Curve
  2. 10:30 - 10:45 Coffee Break
  3. 10:45 - 11:30 Fixed Income Volatility Calibration Challenge 2: Some Vol Surface Points are more Relevant than Others
  4. 12:30 - 13:30 Lunch
  5. 13:30 - 15:10 Case Study: ESG and Least Squares Monte Carlo Proxy Modelling
  6. 15:10 - 15:15 Concluding remarks, closing of seminar (EAA)

Participant Feedback

of 5 Points
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Venue & Accommodation

The seminar will take place at the

JUFA Hotel Wien City
Mautner-Markhof-Gasse 50
1110 Wien
Austria
Phone: +43 57 083 700
Hotel website

We have arranged special prices for accommodation. A single room costs 98,00 € per night, including breakfast and VAT. This price is valid for bookings by 20 November 2019 out of our allotment “EAA Seminar”, ref. number: 90-6676387. Please book your accommodation directly with the hotel via email: Kathrin.kubesch@jufa.eu. Kindly book early, as our allotment includes a limited number of rooms, and note the hotel’s cancellation policy.

​Sponsor

CLASSIC Sponsor of the Seminar

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