Launched in Spring 2004 the PRMIA Risk Management seminar presents
talks on issues of current interest to both professionals and academics
in the fields of risk mananagement. PRMIA
is an international association of professional risk managers. The
seminar series is co-sponsered by the Toronto
chapter of PRMIA and by the Fields Insitute. Talks cover a broad
range of topics, not necessarily restricted to research in mathematical
finance, the topic of the longstanding and complementary Quantitative
Finance seminar series.
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to be informed of upcoming seminars.
PRMIA SEMINARS Audio and Slides
June 20, 2007
Stuart F. Wason, Senior Actuary, Assuris
Alignment between risk and capital management in the Insurance
industry
The insurance industry is rapidly nearing a nexus point among
several global developments including the rapid growth of risk
management, the proliferation of advanced modeling, convergence
toward the use of market based value measures and convergence
in regulatory capital standards for financial institutions. This
talk discusses the rewards and challenges of
these developments for the insurance industry and its key stakeholders.
Stuart Wason is Senior Actuary, Assuris, a not for profit corporation,
funded by the Canadian life and health insurance industry, that
protects Canadian policyholders against loss of benefits due to
the financial failure of a member company. Mr. Wasons' role at
Assuris is to promote evolving concepts of solvency assessment
for insurance companies and add his expertise to Assuris's detection
and intervention initiatives.
Mr. Wason has over 30 years of actuarial, financial reporting
and insurance company management experience. Prior to joining
Assuris, Mr. Wason established his own company specializing in
risk management and actuarial consulting. He is a former Director
of Mercer Oliver Wyman. He has been active as an advisor on enterprise
risk management, the Appointed Actuary for several life insurers,
the valuation actuary for the liquidator of two life insurers,
the Independent Actuary in the purchase/sale of several blocks
of life insurance business, the Independent Actuary in the demutualization
of Mutual Life, the peer reviewer of the valuation of life insurers,
and an actuary responsible for preparing appraisals of life insurers.
Mr. Wason has been actively involved in the work of the actuarial
profession. He currently chairs the Solvency Sub-Committee of
the International Actuarial Association (IAA). Recently he has
been a member of the Executive of the IAA as well as the Board
of Governors of the Society of Actuaries. He led an IAA Working
Party which produced a book in 2004 entitled "A Global Framework
for Insurer Solvency Assessment" as a means to promote discussion
within the insurance industry on this important topic. Mr. Wason
is also a Past President of the Canadian Institute of Actuaries
(1999-2000). He is a frequent speaker at international insurance
and actuarial conferences on the topics of risk management and
solvency frameworks.
April 4, 2007, 5:30 p.m. - held at the Fields Institute
Andrew Kalotay, Andrew Kalotay Associates
Where is the Option? Recent Developments in Prepayment Modeling
Traditional MBS prepayment models are based on historical
prepayments, rather than sound financial principles. The predictable
result is an endless stream of "new and improved" releases.
One noteworthy deficiency of traditional models is the absence
of "mortgagor intelligence". They cannot describe how
market factors such as lower transaction costs or higher interest
rate volatility would affect prepayment behavior. Another problem
is the low processing speed - at most a few hundred valuations
per minute.
I will discuss an alternative approach: a true option-based model
using the concept of optimal refinancing. This provides a convenient
reference point to describe "leaper" and "laggard"
behavior. The model is calibrated to the market prices of liquid
securities. Empirical results indicate that it is remarkably robust
and accurate. Since the model is amenable to recursive valuation,
the processing speed - 10,000 valuations per minute - makes it
ideal for risk management applications.
Andrew Kalotay, president of Andrew Kalotay Associates, is a
leading authority on debt management. He has written widely on
the valuation of bonds, interest rate derivatives, and mortgage-backed
securities. His innovations include refunding efficiency (a widely
used tool for managing callable debt), the Ratchet Bond (a surrogate
for conventional callable bonds), and the Volatility Reduction
Measure (for testing hedge effectiveness).
Before founding AKA in 1990, Dr. Kalotay was with Salomon Brothers
in the Bond Portfolio Analysis Group. Prior to that he was at
Bell Laboratories and AT&T.
On the academic side, he directed the first Financial Engineering
program at Polytechnic University in 1995. Previously he taught
at Wharton, Columbia and Fordham University. Apart from his academic
publications in finance, operations research and statistics, he
writes the "Topics in Fixed Income" column in Financial
Engineering News.
Dr. Kalotay holds a B.Sc. and M.Sc. from Queen's University and
a Ph.D. from the University of Toronto, all in mathematics. In
1997 he was inducted into the Fixed Income Analyst Society's "Hall
of Fame".
September 12, 2006, 5:45 p.m. - held at the Fields Institute
Featuring: Professor Rudi Zagst, RiskLab Germany and Technical
University of Munich
Pricing Credit Derivatives
Professor Dr. Rudi Zagst studied business mathematics at the
University of Ulm. After his dissertation in the field of stochastic
dynamic optimization, he started his professional career at the
HypoVereinsbank AG. There, he worked as Head of Product Development
in the Institutional Investment Management before transferring
to Allfonds International Asset Management GmbH as Head of Consulting
and finally becoming Managing Director of the RiskLab GmbH - Private
Research Institute for Financial Studies in 1997.
Since 1992 Professor Zagst has held various teaching positions
at the Universities of Ulm, St. Gallen Augsburg, Munich and Singapore.
After his qualification as a university lecturer at the University
of Ulm in 2000, Rudi Zagst was appointed a Professor of Mathematical
Finance at the Munich University of Technology in 2001 and has
been the Director of the Center of Mathematics and Head of the
Institute for Mathematical Finance there since 2002. Prof. Zagst
was also appointed a member of theFaculty for Economics as well
as the President of risklab germany in 2003. In 2004 Prof. Zagst
was appointed Deputy Chairman of the joint Elite graduate program
“Finance & Information Management” of the Augsburg
University and the Munich University of Technology and has also
been a member of the steering committee of the Munich Chapter
of the Professional Risk Managers’ International Association
(PRMIA) since 2004 as well as a member of the PRMIA Academic Advisory
Committee
since 2005.
The main focus of his research lies in the areas of financial
engineering and risk and asset management.
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