Calibration of Economic Scenarios Generators: Key Challenges
Speakers: Alexandre Boumezoued, Pierre-Edouard Arrouy, Paul Bonnefoy
The context of a prolonged decline in interest rates has led most life insurers to make profound changes, particularly with regards to the evolution of financial strategies as well as the savings business model. Also, as the complexity of investment strategies and management rules has evolved, it has become necessary for key players in the insurance market to properly capture credit spreads risk, sustained by a regulatory demand to capture adequately the risks in the valuation of the balance sheet. These changes require the adaptation of different risk and value management tools, including asset-liability projection models and ESGs.
In this context, this websession offers a comprehensive view on the current challenges related to the calibration of interest rate and credit risk models in ESGs for Risk Neutral valuation.