2023 Webcast- 3.10.23 - Market Volatility Risk in an Era of Extreme Events Webcast Recording

Analyze the market volatility behavior in context with historical extreme events during this webcast. There will be a focus on understanding volatility clustering and relationships, both contemporary and temporal, in addition to key economic and capital market variables. You'll also learn from a comprehensive attribution analysis, which uses economic data, asset data, retail investor data and event data as explanatory variables.

Dive into investment-related Reddit comments used to capture features of retail investors and tree-based models, including Random Forests and Gradient Boosting Machines to justify changes in volatility modeling. Expect this webcast to end with an example of liability-driven investment optimization that illustrates the potential impact of increased volatility assumption, how to adopt stochastic volatility models, how to reflect volatility clustering and return jumps.

Recording Details

Competency:
- Actuarial Modeling and Analysis
- Data Science, Analysis & Predictive Analytics
- Risk Management
- Technical Skill And Analytical Problem Solving
Credit:

1.80 SOA CPD

1.50 CIA
Note:

This product is now part of the recording library subscription.
Presented By:

Joint Risk Management Section

2023 Webcast- 3.10.23 - Market Volatility Risk in an Era of Extreme Events Webcast Recording

On-Demand

Online

Recording Details

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