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The webinar on June 26th with Andrew Smith is
free!
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In this webinar, Andrew will introduce his Masterclass on Model Risk Management. He will
preview the first episode in this 8-part series and then delve
further into the main take-aways covered throughout the
Masterclass, such as: underwriting model risk; reserving model
risk; investment model risk; and, model risk management
processes.
We will close with a Q&A session for the audience.
If you are working in Risk Management, you should attend this
webinar!
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Model Risk Management - The Quest for a Unifying Approach by Andrew
Smith
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Modern financial businesses rely on thousands of models to
support decision-making from pricing and reserving through risk and
capital to management bonuses and shareholder decisions. These
models sometimes fail. Forecasts prove to be inaccurate, or
decisions supported by models may turn out to be unwise. What can
we do about this? We cannot eliminate the possibility that the
future turns out differently to a model prediction. However, we can
ensure that assurance we give on models is both truthful and
statistically meaningful. We can reverse stress-test models by
feeding them awkward simulated data until they break down. We can
choose between harsh validation tests that reveal model weaknesses,
or we can apply powerless validation methods where a green light is
a foregone conclusion. We can foster a culture where people who
become aware of model shortcomings are heard rather than silenced.
This ASTIN Masterclass uses a series of examples to highlight
quantitative approaches to model risk management, using examples
related to underwriting risk, stochastic reserving and the
modelling of asset price changes. Andrew offers tips for actuaries
pressured into expressing undeserved confidence in risky models,
together with tips better to support decision making in the context
of uncertainty.
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Andrew Smith is an assistant professor in the School of
Mathematics and Statistics at University College Dublin and an
Honorary Fellow of the Institute of Actuaries. Before he moved to
Ireland in 2017, he gained 30 years of insurance experience,
specialising in stochastic modelling, including fifteen years as a
partner in a major consulting firm.
Andrew is famous for developing the Smith-Wilson method for
extrapolating forward rates. It is recommended by EIOPA to
extrapolate interest rates.
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