Real World Economic Scenario Generation: Typical Uses, Common Modeling Challenges & Practical Examples
On Wednesday, November 18th featured speaker Daniel Schobel outlined typical uses of Real World ESGs and discussed how insurers can overcome common modeling challenges they encounter.
The regulatory landscape for insurers around the world is undergoing significant changes that require companies to upgrade their risk management and assessment capabilities. Frameworks such as Solvency II, Own Risk and Solvency Assessment (ORSA), and other new regulations are driving insurers to bring in new staff, tools, and methods to analyze risk and capital.
One such tool is a Real World Economic Scenario Generator (ESG), which can be used to give companies a new perspective on their business. However, using this tool effectively by understanding and addressing the practical challenges that come with it is no easy task.
On Wednesday, November 18th featured speaker Daniel Schobel, Actuary in the Client Solutions Group at Numerix, outlined typical uses of Real World ESGs and discussed how insurers can overcome common modeling challenges they encounter.
MR. SCHOBEL COVERED:
- Primer on Real World ESGs
- Typical ESG workflow and common challenges
- Model selection and calibration
- Importance of the use case
- Examples using CIR2F and Heston models
- Using historical data vs. internal views
- Model flexibility and speed
- Understanding the impact on final results and analyses
To view the on-demand webinar, just register on the right side of this page.
Moderator: Greg Murray, Vice President, Product Marketing, Numerix Greg Murray oversees product marketing initiatives at Numerix, focusing on go-to-market strategies and marketing of Numerix’s derivative pricing and risk analytics. Prior to his current role, Mr. Murray worked in derivative analytics sales roles at Numerix and at other software firms. He also held derivative trading positions for seven years as an option market-maker and proprietary trader across several different asset classes.
Featured Speakers
Daniel Schobel
Daniel Schobel is an Actuary within the Client Solutions Group of Numerix. In this role he works with clients to develop Economic Scenario Generators to meet regulatory requirements and risk management goals, utilizing actuarial experience and Numerix Analytics.
Prior to joining Numerix, Mr. Schobel was an Actuarial Associate at New York Life Insurance Company, where he worked on Real World and Risk-Neutral Economic Scenario Generators for use across the organization, including developing a highly customized Real World Calibration to meet Enterprise Risk Management goals.
He also held roles in Valuation and Annuity Pricing during his tenure at the company. Mr. Schobel holds the ASA credential from the Society of Actuaries.
