Choosing the appropriate process for modelling energy prices is essential for best calculating value, risk and hedging metrics for energy derivatives and assets. In this first article of a six-part series,...
Zurich believes its op risk quantification model is helping it to fully understand the risk type and to treat it in a similar way to other risk types. Not only does the model enable the firm to meet Solvency...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Modelling articles
Extreme market volatility continues to make life hard for insurers. The eurozone rumbles on without any clear sign of resolution and the threats of a Greek default and wider contagion still loom ominously. As a result, insurers have been moving into risk...
The markets classically assumed by quantitative finance trade continuously, are frictionless, infinitely deep and liquid, and often normally distributed – a fiction so enchanting that many modellers mistook it for reality in the pre-crisis years. One...
The already challenging task of calibrating stochastic volatility models becomes even more complex when rates are random too. But an efficient Monte Carlo approach can be found – by using an esoteric, but neglected, stochastic calculus. Laurie Carver...
Model validation is a key element for internal model approval under Solvency II, but it is one of the most demanding. Clive Davidson reports on how insurers are meeting the challenge
Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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