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Monday 26 February 2018 17:00 - 19:00

Sessional Meeting adresssing the evolution of economic scenario generators, by the Extreme Events Working Party

“Some UK insurers have been using real-world economic scenarios for more than thirty years. Popular approaches have included random walks, time-series models, arbitrage-free models with added risk premiums or one-year distribution fits. Based on interviews with experienced practitioners, this workshop traces historical model evolution in the UK and abroad. We examine the possible catalysts for changes in modelling practice with a particular emphasis on regulatory and socio-cultural influences. We apply past lessons to provide a non-technical perspective on the direction in which firms may develop real world multi-period economic scenario generators in future.” - Extreme Events Working Party

17.00 - 17.30 Registration and Refreshments
17.30 - 17.35 Chair's opening remarks (Andrew Chamberlain)
17.35 - 18.05 Working party presentation (Parit Jakhria, Prudential and Andrew Smith)
18.05 - 18.45 Q&A panel session with Chair, Closer and working party 
18.45 - 18.55 Closer (Paul Fulcher, Nomura)
18.55 - 19.00 Chair's closing remarks (Andrew Chamberlain)




Staple Inn Hall,
High Holborn

Nearest Public Transport

Chancery Lane underground station