Introduction To Economic Capital Management And Modelling

By MJ the Fellow Actuary

What you'll learn
The basics of capital management and how it relates to risk.
Requirements
Risk Management and Risk Modelling
Description
This course is the final chapter for the CERA Profession: Enterprise Risk Management.It is designed specifically for students writing the SP9 exam.We look at:What is Capital?Overview of Ruin TheoryTheoretical Capital ModelThe Simple Risk Weighting ApproachUses of Capital Modelling (Popular Exam Question)Capital Allocation - Euler MethodSimple Capital Calculation ExampleI've also included some bonus videos around:RegulationPrinciples of ModellingRisk Models

Overview

Section 1: Capital Management

Lecture 1 Introduction to Course

Lecture 2 What is Capital

Lecture 3 Overview of Ruin Theory

Lecture 4 Theory of Capital Modelling

Lecture 5 Risk Weighting Approach

Lecture 6 Uses of Capital Modelling

Lecture 7 Capital Allocation - Euler's Method

Lecture 8 Simple Capital Calculation Example

Section 2: Extra: Regulation

Lecture 9 Very Brief History of Regulation

Lecture 10 Basel Accords

Lecture 11 Solvency II

Section 3: Extra: Principles of Modelling

Lecture 12 Components of an Actuarial Model

Lecture 13 Limitations of Models

Lecture 14 Model Analysis (Stress, Sensitivity, Scenario Analysis)

Section 4: Extra: Risk Models

Lecture 15 Introduction to Risk Assessment

Lecture 16 Properties of Risk Measures

Lecture 17 Introduction to Copulas

Lecture 18 GARCH Model for Volatility Estimation

Lecture 19 Merton Model for Credit Risk

Lecture 20 Merton Model Drawbacks

Actuarial Students