Moderator / Presenter: Bill Pauling, Hartford
Investment
Management Company
Presenters: David Hopewell, Ernst & Young
Michael White, Sun Life Financial
Join expert panelists as they present their views on the
practical considerations in selecting generators in this
interesting session. Scenario generation is an integral
part of the risk and economic capital measurement
process especially as it relates to the generation of
interest rate and equity returns for use in measuring
interest rate and equity risk exposures. Different generators
and different parameterizations produce dramatically different
results especially when the tail of the distribution is
the primary concern. The problem is complicated further
by the need to generate scenarios across different countries.
The panelists will address not only considerations, but also
developing appropriate assumption sets.