Do you want to gain a greater understanding of the characteristics of equity volatility, and how this can be used to model and forecast equity volatility?
If so, we invite you to join our webinar “Equity Volatility Modelling and Forecasting” on 6 December 2017 | 10:00 – 12:00 CET.
We will discuss two applications from this. Firstly how volatility measures can be used to value insurance guarantee liabilities, and secondly how volatility forecasting can be used to manage volatility by means of dynamic asset allocation. We will include a discussion of strengths and challenges of different approaches, as well as commentary on industry best practice.
The webinar will cover the following topics:
• Equity volatility: Statistical properties and behavioural characteristics
• Equity volatility: Short-term forecasting models and comparative strengths/challenges
• Realised volatility vs. implied volatility, and the implied volatility premium
• Application 1: Market consistent valuation of insurance guarantee liabilities
• Application 2: Dynamic asset allocation strategies (volatility targeting and risk parity)
• How dynamic asset allocation strategies can be complementary to managing guarantees in a Solvency II framework
