Description: 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.

Description: Gather with members and non-members in the China actuarial community to discuss recent topics and related issues in areas such as macroeconomic sharing, pension, investment, product strategy, and more.

Description: 2021 ImpACT Conference - Session 13B: Forecasting LDTI 10.29.21 Recording

Description: Economic Scenario Generator - Investment Section Web Series - Risk Neutral