The context of a prolonged decline in interest rates has led most life insurers to make profound changes, particularly with regards to the evolution of financial strategies as well as the savings business model. Also, as the complexity of investment strategies and management rules has evolved, it has become necessary for key players in the insurance market to properly capture credit spreads risk, sustained by a regulatory demand to capture adequately the risks in the valuation of the balance sheet.

These changes require the adaptation of different risk and value management tools, including asset-liability projection models and ESGs.
In this context, this web session offers a comprehensive view on the current challenges related to the calibration of interest rate and credit risk models in ESGs for Risk Neutral valuation.

Among the models embedded in economic scenario generators, those relating to nominal interest rates have indeed reached a significant complexity; this is due on the one hand to the very nature of the model (displacement coefficient, stochastic volatility, ...) and on the other hand to the intrinsic complexity of the modelled variables; in particular, when the calibration is based on market swaption data (options on interest rate swaps), many dimensions are taken into consideration. As for interest rates, this web session will present new solutions to perform the calibration faster and more in line with the sensitivity of the balance sheet.

Also, credit risk models have currently evolved to allow modelling the dynamics of default intensities, rating transition probabilities, and even the occurrence of default and migration. These features can be used as key levers to reflect the actual management rules in the projection model, but require a prudent approach concerning calibration. Through case studies, this web session will illustrate good practices for calibration related to several credit risk models.

This web session has been developed for practitioners who want to gain a deeper understanding of the state of the art techniques for the calibration of interest rate and credit risk models within ESGs.

Organised by the EAA - European Actuarial Academy GmbH.

The web session is open to all interested persons.

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

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

The aim of this web session is to provide a comprehensive view on key challenges and state-of-the-art solutions for the calibration of interest rate and credit risk models.

The language of the web session will be English.

Alexandre Boumezoued
Alexandre Boumezoued is leading the Research & Development team in Milliman Paris office; as such he provides consulting support to his clients in the insurance market on modelling topics in life and non-life insurance as well as financial risks. Alexandre's current research interests deal with stochastic population dynamics and its use for longevity and mortality risks purposes, stochastic micro/macro non-life reserving models, as well as calibration methods for interest rate and credit risk models. During the last years, he has given talks in international conferences and working groups worldwide, and lectures in several actuarial centers in France. Alexandre received his PhD in Applied Mathematics from Paris 6 University (Probability and Random Models Laboratory), for which he has been awarded by the 2016 PhD SCOR Actuarial Prize.

Pierre-Edouard Arrouy
Pierre-Edouard Arrouy is leading the financial modelling team inside the Research & Development section of Milliman Paris; his consulting work relates to the design, the implementation and the review of financial models within risk-neutral and real-world ESGs. His current research topics deal with calibration methods for interest rates models with stochastic volatility, modelling of credit risk, as well as the pricing of complex derivatives. He is also actively involved in the development of the cloud based ESG solution Milliman CHESS.

Paul Bonnefoy
Paul Bonnefoy is a R&D Consultant at the Paris office of Milliman. He provides his financial modelling expertise to clients through various missions related to the implementation and the review of financial models within risk-neutral and real-world ESGs. His R&D works concern among other things the acceleration of the calibration process of financial models and the pricing of complex derivatives. He is also actively involved in the development and the management of the cloud based ESG solution Milliman CHESS.