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Modelling Extreme Market Events. A Report of the Benchmarking Stochastic Models Working Party

Published online by Cambridge University Press:  10 June 2011

R. Frankland ,
A. D. Smith ,
T. Wilkins ,
E. Varnell ,
A. Holtham ,
E. Biffis ,
S. Eshun  and
D. Dullaway
R. Frankland
Affiliation:
Norwich Union, 2 Rougier Street, York YO90 1UU. Tel: +44(0) 1904 45246; E-mail: ralph.frankland@norwich-union.co.uk
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Abstract

This paper focusses on some practical issues that can arise when developing methodologies for calculating benchmark figures for extreme market events, particularly in the context of the Financial Services Authority's ICAS regime. The paper limits discussion to equity and interest rate risks. Whilst not intended to constitute formal guidance, it is hoped that the material contained within the paper will be useful to practitioners. The paper acknowledges the role of prior beliefs in the choice of data to be used for modelling and its influence upon the ensuing results.

Keywords

Modelling Economic CapitalExtreme Market EventsICACapital RequirementsMarket ConditionsEquity ModellingYield Curve ModellingInterest Rates

Information

Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 15 , Issue 1 , March 2009 , pp. 99 - 201
Copyright
Copyright © Institute and Faculty of Actuaries 2009

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