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23-27 May, 2022
Online virtual conferenceBST (British Summer Time, GMT+1)

Risk Management & Modelling

Few predicted the pandemic and this summit will review this central discipline of QuantMinds and consider the impact of lessons learned from Covid-19 and implications for risk management and modelling.


Optimal VaR adaptation in transient environments
Optimal VaR adaptation in transient environments
  • Shortcomings of standard VaR approaches
  • Characteristics of financial times series
  • The Kalman Filter and Signal to Noise Ratios
  • Enhancing standard VaR approaches
  • Case study: Quick wins for regulatory VaR implementation

With Peter Quell, Head of Portfolio Modelling for Market & Credit Risk, DZ BANK

Fair valuation of hybrid liabilities: merging expert judgement with market-consistency.
Fair valuation of hybrid liabilities: merging expert judgement with market-consistency.
  • A hybrid claim contains different type of risks: hedgeable, actuarial and systematic risks.
  • Example: pension liabilities containing stock price risk, mortality risk, longevity risk, inflation risk.
  • The valuation of a hybrid claim should take into account that each part should be priced with a different valuation principle.
  • We introduce the 3-step hedge-based valuations.
  • Idea: unification of the theories of financial pricing and model-based pricing.
  • Merging the idea of risk-neutral pricing for hedgeable risks, diversification for actuarial risks and capital buffers for systematic risks.

Research presented by Daniel Linders, Assistant Professor, Amsterdam School of Economics, University of Amsterdam

AI & ML - Associate Partners

Risk Management & Modelling - Lead Partner

Interest Rate & IBOR - Lead Partner

Exhibitor

OFFICIAL LEARNING PARTNER

LEAD MEDIA PARTNER