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As the techniques and software that underpin Internal Models have matured, the next wave of Internal Model firms can benefit from faster implementations and reduced costs, with off-the-shelf solutions that have been designed to meet the demands of a simulation-based Internal Model.

In this webinar we will discuss:

Progress made to date on Internal Models in Europe

Key considerations for implementing an Internal Model

Practical considerations in relation to capital aggregation and attribution, proxy techniques and risk factor modeling

Insight into how Moody's Analytics solutions can be used to meet the needs of an Internal Model

Related Insights

Making Proxy Functions Work In Practice

In this paper we explore many of the practical issues which can be encountered when developing and implementing a process to generate proxy functions using either the Curve Fitting or Least Squares Monte Carlo (LSMC) techniques. The paper reviews the stages involved in proxy generation, and identifies the challenges in implementing them, as part of a robust and integrated business as usual process.

February 2016 Pdf Martin Elliot

Efficient Asset Allocation with Least-Squares Monte Carlo

This article reviews the analysis of an asset optimization problem where risk is defined by the capital required under Solvency II principles, and where the portfolio performance is defined by the net asset value at time T=1.

May 2014 WebPage Alexis BaillyRomain Lombardo

Efficient Asset Allocation with Least Squares Monte Carlo

Asset optimization which focuses only on the distributional characteristics of an investment portfolio will fail to achieve an optimal portfolio from the perspective of value creation for a life insurance firm. In this paper we show how this issue can be resolved through the application of Least Squares Monte Carlo techniques.

January 2014 Pdf Romain LombardoAlexis Bailly