Numerix Webinar: Economic Scenario Generation Best Practices - Overcoming Risk Neutral Modeling Challenges

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Join Numerix on Wednesday, April 16nd at 10 am EDT for a Webinar Discussing Complex Issues in Risk Neutral Modeling for ESGs

New York, NY – April 9, 2014 – Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management, will host a complimentary webinar on Wednesday, April 16th at 10 am EDT as featured speaker Alex Marion, Vice President, Product Management at Numerix, discusses how practitioners can deal with these complex issues in risk neutral modeling for ESGs, as well as overcoming several other common but difficult challenges.

The insurance industry has utilized risk neutral models for many years to help manage market risks embedded in complex insurance products such as variable annuities (VAs). However, as the complexity of VA guaranteed living benefit riders has increased, insurers have needed to adopt more sophisticated modeling capabilities in order to properly assess and mitigate risk exposures.

 

Moreover, the combination of long-dated liabilities and persistent low rate environments presents challenges when constructing stochastic rate models, which can often produce explosive rates or negative rate scenarios which are undesirable for valuations and other ESG applications. And insurers with exposures across multiple currencies can sometimes encounter problems handling quanto adjustments when modeling equities and rates across multiple currencies.

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Mr. Marion will cover:

•    Brief review of risk neutral scenario generation

•    Validating risk neutral scenarios using calibration reports and martingale tests

•    Avoiding explosive and/or negative interest rate scenarios from stochastic rate models

      o    Using the Shifted LMM and CIR2F models

•    Dealing with cross currency risk

      o    Modeling multiple currencies within a hybrid model, producing martingale tests for cross currency exposures

•    Producing scenarios for advanced indices

      o    Bond funds with credit risk; target volatility strategies; capital protection overlays; the VIX index; currency-   hedged equity funds

•    Embedding risk-neutral ESGs in a nested stochastic framework

      o    Dealing with computational challenges

Attendance is complimentary, Registration is required. REGISTER NOW

Featured Numerix Speakers:

Alex Marion, Vice President, Product Management, Numerix

Alex Marion heads up insurance solutions for the Numerix Client Services group as VP of Product Management. In this role he works with clients developing comprehensive risk management solutions, leveraging powerful analytics and actuarial expertise. Mr. Marion and his team of actuaries and financial engineers provide solutions in dynamic hedging, economic scenario generation, asset liability management, nested stochastics, counterparty risk, and regulatory compliance.

 

Mr. Marion has experience developing and implementing risk management solutions for insurers, banks, and hedge funds whose exposure spans multiple asset classes. He has a deep understanding of both vanilla and exotic derivatives, focusing on both risk risk-neutral and real-world economic scenario generation. Alex has developed solutions for dynamic hedging, valuation, asset liability management, and nested stochastic applications. Prior to joining Numerix, Mr. Marion served as a quantitative analyst for Phoenix Wealth Management where he developed a risk-neutral economic scenario generator with applications in VA and EIA dynamic hedging. Before Phoenix, Mr. Marion was a consultant with Milliman’s Financial Risk Management practice where he managed dynamic hedging strategies for insurers.

About Numerix

Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Since its inception in 1996, over 700 clients and 80 partners across more than 25 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in New York, Sao Paulo, London, Paris, Frankfurt, Milan, Stockholm, Tokyo, Hong Kong, Singapore, Dubai, South Korea, India and Australia, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information please visit www.numerix.com.

Emily Ahearn

Director of Public Relations

Phone 646 898 1294

Email: eahearn@numerix.com

News Source : Numerix Webinar: Economic Scenario Generation Best Practices - Overcoming Risk Neutral Modeling Challenges
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