Scenario Modeling e-Course

Course Outline

·         Section 1: Overview

·         Section 2: Scenarios

·         Section 3: Simulations

·         Section 4: Lattices

·         Section 5: Deflators

·         Section 6: Fittings

·         Section 7: Calibrations

·         Section 8: Validations

·         Section 9: Variance Reduction

·         Section 10: Nested Simulations

·         Section 11: Applications           

Learning Objectives

After completing this module, you should be able to:

·         Explain the difference between risk-neutral and real-world scenarios and deterministic and stochastic scenarios.

·         Translate mathematic formulas into stochastic simulation functions in R.

·         Build simulation models for equity returns, interest rate movements, and inflation.

·         Construct a regime-switching lognormal model for equity returns.

·         Construct Vasicek and Cox-Ingersoll-Ross (CIR) models for interest rates and inflation.

·         Use analytic plotting functions for visualization in fitting distributions.

·         Calibrate simulation models using Maximum Likelihood Estimation and Non-Linear Minimization techniques.

·         Validate simulated scenarios for both risk-neutral and real-world measures.

·         Apply variance reduction techniques in Monte Carlo simulations to reduce runtimes and
improve accuracy.

Length

50-60 Hours

Audiences

·         Individuals engaged in the actuarial profession at any level looking to fulfill their CPD requirement.

·         Other professionals interested in or impacted by important topics related to the actuarial field.

Notes

·         This e-course is for professional development. It's not intended to substitute for any professionalism requirements for the ASA, CERA or FSA credentials. If you wish to register for an e-learning module to attain a designation, please visit the e-learning module Web page.

·         Ultimately, it/s an actuary's responsibility to make a reasonable, good-faith determination of what continuing education opportunities will enhance his or her ability to practice in a desired field. For more information on continuing education requirements, visit soa.org/CE.