CERA, Module 0: Quantitative Methods for ERM – A Bridging and Refresher Course

The Seminar Quantitative Methods for ERM (Module 0) – a Bridging and Refresher Course
The seminar begins with an introduction to risk measures. We will treat Value at Risk and expected shortfall and we give an introduction to the modern theory of coherent risk measures.  In order to prepare the analysis of dependent risks we next discuss basics of multivariate modelling. The seminar continues with an introduction to financial mathematics. We begin by studying  risk neutral valuation and the hedging of derivatives in discrete-time models, followed by an introduction to financial mathematics in continuous time. Topics covered include Brownian motion and the Ito formula, the Black Scholes model and the pricing of simple stock and bond options.

The seminar consists of lectures and exercise sessions. In fact, exercise sessions, where various exercises and supplementary examples are discussed, form an integral part of the seminar: they help the participants to understand the qualitative and quantitative techniques introduced in the lectures.

Organised by the EAA – European Actuarial Academy GmbH in cooperation with the Collegi d’Actuaris de Catalunya.

The 1.5 day seminar serves a double purpose. On the one hand, it is a bridging course designed to prepare actuaries with a more qualitative background for the quantitative parts of the CERA education. On the other hand, it is an independent refresher course for actuaries wanting to brush up their quantitative skills in the fields of enterprise risk management and financial mathematics.

This seminar is not a formal part of the CERA education.

To see further dates and locations for the EAA modules, visit our events page.