30/31 Mar 2017 in Brussels
An Introduction to Economic Scenario Generators and their Validation
This seminar has NOT been designed for those participants eager to find out which capital market scenario will materialize in the coming months and years so that they can maximize their wealth. Unfortunately, we have lost our crystal ball, which is a real shame.
Attendees are encouraged to bring a laptop computer with Microsoft Excel installed.
This seminar has been developed for professionals who are interested in Economic Scenario Generators because they deal with one or more applications of those and who are familiar with the basic concepts of financial maths. In-depth knowledge of capital market models is clearly NOT a pre-requisite, as this seminar does not aim at ESG experts. We might offer a follow-up seminar for ESG experts separately.
Purpose and Nature
In the seminar, we begin by describing random number simulation techniques, which underpin ESG work. We also talk about variance reduction techniques, which improve the efficiency / the precision of stochastic modelling. We move on to discuss risk-neutral equity modelling and interest rate modelling. We conclude our program on day 1 by considering real-world scenario generation.On day 2, we talk about ESG validation aspects before moving on to the ESG applications. First, we introduce the ESG Rebasing technology, which allows the users to produce univariate and combined stress scenarios by recycling their baseline ESG package. We continue by discussing a case study of a UK Internal Model Firm, which has implemented Daily Solvency Monitoring to operationalize their Solvency II calculations for risk management purposes.
Venue & Accommodation
The seminar will take place at the hotel
HOTEL MARIVAUX BRUSSELSBoulevard Adolphe Maxlaan 98 1000 Brussels, BelgiumPhone: +32 2 2270300 | www.hotelmarivaux.be
We arranged special prices for accommodation. The special price is 115,00 € per night, including breakfast and VAT. It is valid for bookings by 15 March 2017 out of our allotment “EAA Seminar”. Our allotment includes a limited number of rooms. Kindly book your accommodation directly with the hotel using this booking form, and note the hotel’s cancellation policy.
CLASSIC Sponsor of the Seminar