Workshops

 A1: Construction of efficient stock market indices

This session will give insights into the challenges when aiming to construct efficient benchmarks and will introduce methods that have been proposed recently and that allow us to build efficient benchmarks based on a robust methodology.

Speaker: Felix Goltz, Edhec

A2: Reconciling different risk measures working party

There is a broad consensus that financial firms should measure the risks to which they are exposed. However, there is great variation between industry sectors and geographic regions in relation to how risks are ranked. Ability to meet liabilities as they fall due leads logically to a run-off approach, while a focus on possible intervention leads to a one-year projection or instant stress test approaches. Some approaches focus on a failure probability while others consider the shortfall in a ruin scenario. This working party considers how these methods can be reconciled, with benchmark calculations for key product types under different measurement approaches. Applications include the construction of management information for multinational firms with diverse reported measures for different products or territories. Our work is also of use to firms seeking to reconcile their internal measures to regulatory requirements.

Speaker: Andrew Smith, Deloitte

A3: Optimal structure and governance of ESGs in a Solvency II world

This session covers the practicalities and challenges of embedding ESG modelling within a (large) organisation, for a large number of uses and functions ranging from profit and capital within Actuarial to strategic asset allocation/investment strategy within investment management and product development/bulk deals in the pricing department.
It also discusses the wider regulatory and governance issues brought forth by the advent of Solvency II.

Speakers: Parit Jakhria, Prudential and Elliot Varnell, KPMG