OCF: Dimension Reduction Techniques and Forecasting Interest Rates
Registration: 17.30 - 18.00
Programme: 18.00 - 19.00
Modelling the realistic behaviour of the yield curve is an integral part of any capital model. This talk will explore the key considerations related to this area. We shall cover standard techniques familiar to many actuaries, and also some more innovative approaches.
Presenter: Shaun Lazzari and Peter Mason, Capital Markets Group, Deloitte