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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
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Slides
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Market Consistency and Weighted Monte Carlo
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Market Consistency and Weighted Monte Carlo
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Market Consistency and Weighted Monte Carlo
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What is ‘market consistency’?
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What roles do valuations play in finance?
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The investment analyst’s role
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The unit pricing team’s role
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Unit pricing algorithms
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Should valuations target market consistency?
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Banking
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IFRS 9
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Banking
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Pension funds
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Budgeting versus matching?
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Insurance
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Solvency II technical provisions
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Market Consistency and Weighted Monte Carlo
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Economic Scenario Generators (ESGs)
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Monte Carlo simulations
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Real-world versus risk-neutral
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Risk-neutral ESGs or equivalents
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Conceptual steps involved with a risk-neutral ESG
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Market Consistency and Weighted Monte Carlo
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Weighted Monte Carlo
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Conceptual advantages
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Mathematical aspects (1)
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Mathematical aspects (2)
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Summary
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Important Information
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