Stochastic Liability Modelling - Course Outline

Introduction

• Overview of Stochastic process
• Overview of SGA

Running liability product under different scenarios

• Products are converted to reading economic data which varies by scenario
• Interpretation of results

SGA and Economic Models

• Guide to using SGA and creating economic tables
• Analysis and charting tools available
• Random Walk Model
• Wilkie Model
• Timbuk1 Model
• Excel based scenario generators

Running liability products stochastically

• Setting up stochastic runs
• Running stochastically under various economic models
• Comparison and interpretation of stochastic results

Implementing Decisions

• How decisions can be implemented
• Dynamic feedback
• Concept of higher level products

Pricing of Guarantees

• Interpreting the cost of guarantees under various models
• Use of deflators

Reporting on Stochastic Results

Minimising runtimes

• Use of the latest system features
• Parallel stochastic mode
• Practical hints and tips
• Construction of model

Appropriate examples will be run throughout the day.

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