Institutions are transforming their analytic capabilities to move beyond static reports that explain what happened in the past, to more modern analytics that can explain why an event occurred and what is likely to happen in the future.
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
The modelling & analytics platform leverages AXIS (and other models) for projection of key business metrics under alternative forward-looking scenarios and management actions.
In this paper Brian Robinson discusses the challenges and way forward for a common projection capability which supports simplified processes, and delivers consistent business insight across functions, and the entire business.
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.
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.
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.