Use of MATLAB for Solvency II Capital Modelling: The Prudential Risk Scenario Generator - MATLAB
Video Player is loading.
Current Time 0:00
Duration 0:00
Loaded: 0%
Stream Type LIVE
Remaining Time 0:00
 
1x
  • Chapters
  • descriptions off, selected
  • captions off, selected
      Video length is 22:43

      Use of MATLAB for Solvency II Capital Modelling: The Prudential Risk Scenario Generator

      Sam Bailey, Prudential

      In this session, we discuss what the Risk Scenario Generator (RSG) is and how it fits into the Prudential SII capital modelling system. We also discuss the overall architecture of the RSG, including:

      • Key components and interfaces: engines, business modules, user interface, external APIs, and simulation files
      • Plug-and-play separation of business modules from core engines for risk models (calibration and simulation), risk dependency rules (calibration and simulation), simulation validation reports, bootstrapping algorithms, and bootstrapping validation reports

      Recorded: 19 Jun 2012

      Related Products

      View more related videos