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WEBINAR

21 Nov 2018

Webinar: Interest Rate Modelling in Times of Low and Negative Interest Rates - Best Practices

The present low and negative interest rate environment has introduced a variety of challenges for what has been the status-quo in interest rate modelling for a long time. State-of-the-art interest rate models need to be able to reflect the probability for negative interest rates to occur in a proper way; at the same time, long-standing paradigms for the calibration of interest rate models have lost their fundament.
The webinar covers how the various challenges of low and negative interest rate can be tackled when it comes to modelling topics insurance companies are facing, for both, risk-neutral valuations as well as real-world forecasting applications.
Dr. Mario Hoerig will introduce state-of-the art approaches for interest rate models with a focus on recent trends and solutions with respect to low and negative interest rates. Among others he will deal with the question whether interest rate models should display a lower bound for interest rates, discuss arguments for and against this, introduce models and tools how to enforce a lower bound for interest rates and discuss key requirements for such models when it comes to regulatory questions such as the absence of arbitrage opportunities.
The webinar will contain detailed case studies for risk-neutral and real world applications of interest rate models.
This webinar is for practitioners who want to gain a deeper understanding of state of the art techniques for interest modelling in times of low and negative interest rates.

Organised by the EAA - European Actuarial Academy GmbH.

Participants

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 GoToTraining is used for the webinar). Please also make sure that you are joining the webinar with a stable internet connection. 

On 15 November 10:00 – 10:30 CET there will be a test session offered to all registered participants to test the software.

Purpose and Nature

The aim of this webinar is to provide an overview on interest rate modelling in times of low and negative interest rates, including state of the art approaches, industry best practices and a detailed case studies applying these models. The webinar covers both, risk-neutral valuations as well as real-world forecasting applications. A particular focus will be put on recent developments triggered by the low and negative interest rate environment.

Language

The language of the webinar will be English.

Lecturers

Dr Mario Hoerig, Partner, Oliver Wyman Actuarial
Mario Hoerig is a Partner with Oliver Wyman, co-leading the actuarial services offering in the German speaking markets. Mario focuses on quantitative modelling under Solvency II (economic scenario generators for risk-neutral and real-world purposes, ALM studies, risk factor modelling for Solvency II, risk aggregation, economic capital and capital management) and advises some of the largest insurance companies in Europe on these topics. He has extensive experience with the implementation and validation of interest rate models.
Within the webinar, Mario will provide an overview on market best practices on interest rate modeling for Solvency II (for both, risk-neutral valuations as well as real-world forecasting applications) with a particular focus on introducing and discussing recent developments triggered by the low and negative interest rate environment.

Participant Feedback

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