In this presentation, we will delve into the realm of structured finance, placing a spotlight on advanced structured finance modeling. This session will first explore the growth of structured assets in the insurance space, and the reasons behind this growth. We will then conduct a deep dive into different credit models underlying the cashflow projections of different types of structured securities, including an overview of approaches for modeling the prepayment rates, default rates, and loss severity. We will also explore how a refined credit model can help insurance companies evaluate the risk-return tradeoff of investing in different structured assets. This session aims to enhance understanding of structured finance products and how to model them.
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