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Scenario Modeling e-Course

On-Demand

Online

Purchase

  • Event Overview

The Scenario Modeling e-course provides with extensive practice building and running the types of economic scenarios you may be required to create as an actuary. You will deploy RStudio throughout the module to build simulations, calibrate and validate stochastic models, and apply variance reduction techniques. Throughout this module you will see many R functions and you will be asked to try to create them first before they are revealed to you.


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.

 

    E-Course Details

  • Competency:
    • Professional Values
    • Results-Oriented Solutions
  • Credit:

    7.50 SOA CPD

  • Fee:
    $200.00

    Related Links

    e-Course Terms and Conditions
    e-Course Listing
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