SIAS AGM + SIAS Talk: Stochastic credit modelling insights for Matching Adjustment portfolios

About the Meeting

AGM and Stochastic credit modelling insights for Matching Adjustment portfolios

In this session, we discuss how a multi-year stochastic credit modelling framework can be used to analyse the long-term credit risk characteristics of annuity books under a range of credit risk appetites and rebalancing strategies. This work has potential applications in the development and appraisal of long-term risk and capital management strategies for annuity business, and it may also be useful in areas such as the Matching Adjustment attestation and validation of internal models’ Matching Adjustment in Stress modules.

The speakers are:

• Amit Lad
• Craig Turnbull

Both speakers are from Howden.

Location: Staple Inn Hall, High Holborn, London, WC1V 7QH

Event starts at 18:00 with the SIAS AGM and closes with a food and drinks network session afterwards (with registration starting at 17:30)

Note that this event can only be attended in person and will not be recorded.

Note - if you have any questions please contact: programme@sias.org.uk