One-Year VaR and real-world Projections
Last updated 1st July 2010 - Barrie & Hibbert's;s Ken Su and Zhuoshi Liu from Barrie and Hibbert will be presenting on: One-Year VaR and real -world Projections. The event is hosted by the Singapore Actuarial Society on 23rd June.
The session will provide an overview of quantification methodologies for One-Year VaR economic capital (covariance matrix, curve fitting, replicating portfolio, least square Monte Carlo and nested stochastic projections). In addition to an examination of how European companies are addressing this challenge for Solvency II compliance purposes, Zhuoshi Liu will discuss key challenges in carrying out real world projections for the purpose of one-year VaR. This will include an examination of the processes used by Barrie & Hibbert to set real world calibration targets and discuss why models without economic structures lead to a risk management dead-end.
Further details can be obtained at: http://www.actuaries.org.sg/?q=node/328