The Extreme Events Working Party will present their paper on the calibration of VaR models with overlapping data.
Under the European Union’s Solvency II regulations, insurance firms are required to use a one-year VaR (Value at Risk) approach. This involves a one-year projection of the balance sheet and requires sufficient capital to be solvent in 99.5% of outcomes. The Solvency II Internal Model risk calibrations require annual changes in market indices / term structure for the estimation of the risk distribution for each of the Internal Model risk drivers. This presents a significant challenge for calibrators in terms of:
Robustness of the calibration that is relevant to the current market regimes and at the same time able to represent the historically observed worst crisis;
Stability of the calibration model year on year with arrival of new information;
The above points need careful consideration to avoid credibility issues with the SCR calculation, in that the results are subject to high levels of uncertainty.
Contact Events Team for more information.
0207 632 1498
|17.00 – 17.30||Registration will take place|
|17.30 – 19.00||
Chair: Professor Andrew J. G. Cairns, Heriot-Watt University
Speaker: Gaurang Mehta, Royal London / Eve Actuarial and Accounting Consultants Limited
Royal College of Physicians of Edinburgh, 9 Queen Street, Edinburgh, EH2 1JQ
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