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Market Consistency and Weighted Monte Carlo


This presentation describes
- the concept of market consistency,
- how Monte Carlo simulation techniques in the form of economic scenario generators can be used to assist in determining market consistent values, and
- how techniques such as weighted Monte Carlo techniques can also be used with ESG and their similarities to some Bayesian techniques used in maching learning

[as pdf]

Slides
1Market Consistency and Weighted Monte Carlo
2Market Consistency and Weighted Monte Carlo
3Market Consistency and Weighted Monte Carlo
4What is ‘market consistency’?
5What roles do valuations play in finance?
6The investment analyst’s role
7The unit pricing team’s role
8Unit pricing algorithms
9Should valuations target market consistency?
10Banking
11IFRS 9
12Banking
13Pension funds
14Budgeting versus matching?
15Insurance
16Solvency II technical provisions
17Market Consistency and Weighted Monte Carlo
18Economic Scenario Generators (ESGs)
19Monte Carlo simulations
20Real-world versus risk-neutral
21Risk-neutral ESGs or equivalents
22Conceptual steps involved with a risk-neutral ESG
23Market Consistency and Weighted Monte Carlo
24Weighted Monte Carlo
25Conceptual advantages
26Mathematical aspects (1)
27Mathematical aspects (2)
28Summary
29Important Information



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