Advanced variable annuity product designs have furthered the demand for sophisticated modeling techniques, beyond the traditional Black model, to improve accuracy and support more effective hedging programs.
On December 6, 2012 featured speaker Mark Hadley explored cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent.
Through this webinar we:
- Reviewed the “classic” GLWB design, emphasizing its cross-asset exposure
- Evaluated emerging best-practices in the rate space
- Explored new directions in GLWB designs, and implications for equity modeling
- Investigated trends in Cross-Asset correlations and the importance of hybrid calibration
- Quantified the impact of all these elements on GLWB risk
To view the webinar replay, just register on the right side of this page.
Featured Numerix Speakers:
Mark Hadley, FSA, CFA, Vice President, Financial Engineering
Mr. Hadley has worked with numerous variable annuity insurers across the industry, whose exposure spans all corners of the globe. He specializes on the capital markets side focusing on financial market modeling, hedge strategy design, and hedge execution.
In his current role with Numerix, he consults with banks, hedge funds, and insurance companies across the globe on how to manage exotic derivative exposure. Prior to Numerix, Mark worked with Milliman’s Financial Risk Management group, where he designed and executed several VA and EIA hedging strategies.
Moderator: Jim Jockle, Senior Vice President, Marketing
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers 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.
Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.
