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6 Dec 2017

Webinar: Equity Volatility Modelling and Forecasting

Volatility is widely accepted as a practical measure of risk in the financial world.  In recent times, we have been accustomed to equity volatility being comparatively low compared to historical levels.  However, there are number of factors currently bubbling to indicate that we may expect to see a return of volatility in the near future. Central banks are at some point likely to wean the financial markets off the financial stimulus of recent years. Equity price valuations are currently looking precariously high, and in Europe we have the uncertain ramifications of Brexit to prepare for.

This webinar is aimed at providing participants with an understanding of how equity volatility behaves, and the predictive models that could be used to forecast volatility. We will discuss how this knowledge can be applied by insurance companies. Firstly, a discussion of the market-consistent valuation of insurance guarantees on funds that are invested in equity. Secondly, how predictive volatility could be used to manage dynamic asset allocation strategies. We will also discuss how these management strategies are increasingly used by insurance companies to help protect their balance sheet from significant movements in volatility.

This webinar will therefore help practitioners be well-placed to monitor, measure and manage the implications of volatile movements in equity volatility itself.

Organised by the EAA - European Actuarial Academy GmbH.


The webinar is open to all interested persons.

Technical requirements and test session
Please check with your IT department if your firewall and computer settings support webinar participations (the programme GoToWebinar is used for the webinar). Please also make sure that you are joining the webinar with a stable internet connection. 

On 29 November 10:00 – 10:30 CET there will be a test session offered to all registered participants to test the software. Participation is voluntary but recommended.

Purpose and Nature

The aim of this webinar is to provide the participant with a greater understanding of the characteristics of equity volatility, and how this can be used to model and forecast equity volatility. We will discuss two applications from this. Firstly how volatility measures can be used to value insurance guarantee liabilities, and secondly how volatility forecasting can be used to manage volatility by means of dynamic asset allocation.  We will include a discussion of strengths and challenges of different approaches, as well as commentary on industry best practice.


The language of the webinar will be English.


Neil Dissanayake FIA FRM
Neil is Director of European Trading, for Milliman’s global Financial Risk Management (‘Milliman FRM’) practice. Milliman FRM is a leading investment advisor to the insurance industry for risk management and hedging services, and pioneered the dynamic hedging techniques that have become industry standard amongst the global variable annuity industry. Neil leads the team that provides European hours coverage, and execution of derivatives trades to cover European market risks, for Milliman FRM’s global client base.  During his ten years at Milliman, he has gained extensive experience in the market consistent pricing of insurance guarantee liabilities and their sensitivities, as well as the design, implementation and management of derivatives-based hedge strategies for insurance companies. 

Peter Lin FRM, Masters of Science
Peter is a Risk Manager & Trader for Milliman FRM, and his responsibilities include the monitoring of European market risks, and execution of derivatives trades for Milliman FRM’s global hedging clients. He has a detailed knowledge of derivative pricing, quantitative valuation of market risk, and economic scenario generation. He has also a wide range of experience in implementing and managing derivative-based hedge programs.

Participant Feedback

4.58 of 5 Points