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    The Next Wave – Implementing a well-designed Internal Model

    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

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    Navigating uncertainty through enhanced business insight

    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.

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    Making Proxy Functions Work In Practice

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    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.

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    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 Lombardo, Alexis Bailly
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