Economic Scenario Generation: Risk Neutral Modeling in Theory and Practice
The volatile markets and evolving regulatory climate of recent years, has driven much attention across the insurance industry to risk management. Many in the actuarial profession have been moving away from deterministic approaches, looking to gain a wider picture of risk exposures as their firms adopt more complex investment-linked products and are subject to a more complex regulation. More than simply setting higher premiums and passing risk on to the insured, firms can also find competitive advantage through the application of sophisticated Economic Scenario Generation (ESG) techniques right from the product design phase.
Whether fully immersed in ESG, or just beginning to consider implementation of ESG techniques, the success of these approaches depends on skilled leveraging of a solid and consistent modeling framework.
On October 2, 2012 Ghali Boukfaoui discussed Risk Neutral Modeling for Economic Scenario Generation. As the first installment of our ESG webinar series, this webinar:
- Reviewed the foundations of the Risk Neutral Theory, the framework upon which Risk Neutral Economic Scenario Generation Modeling is built
- Examined the Hybrid Framework and Joint Calibration Approaches
- Described the strengths and weaknesses, as well as important nuances of each approach
- Explained these approaches in context of the market consistency challenge
- Introduced Advanced Indices Generation
Featured Speakers
Moulay El Ghali El Boukfaoui
Mr. Boukfaoui oversees development of insurance modeling solutions for the company. Prior to Numerix he was a quant and actuarial consultant both in the United States and Europe focusing on quantitative techniques for the modeling and assessment of Asset and Liability risk.
Mr. Boukfaoui is a graduate from Ecole Polytechnique and holds a master of science in Financial Mathematics.
As Chief Marketing Officer and Executive Vice President of Global Marketing & Corporate Communications, James leads the company’s global marketing and corporate communications efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to clients in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.
Since joining Numerix in 2008, James has launched the organization’s award-winning thought leadership program, bringing to light challenges and insights from Numerix market experts. He also hosts the Numerix Video Blog, tackling the challenges pressing the derivatives markets—from regulatory issues to trading strategies.
Prior to joining Numerix, James served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, he built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. Prior to Fitch, James was a member of the communications team at Moody's Investors Service.
