CERA, Module A: Foundations and Quantitative Methods of ERM – February 2019

The 4-day seminar consists of two parts. The first part of the seminar assists actuaries in broadening their knowledge about modern quantitative financial and actuarial modelling, which form an essential part of the CERA syllabus. This begins with an introduction to the modern theory of risk measures. Next, a number of statistical techniques are discussed, that are highly relevant for the analysis of actuarial and financial data and for the model-building process in risk management. Among others, we will consider extreme value theory, dependence modelling, copulas, and various aspects of integrated risk management. The seminar continues with an introduction to the modelling and the management of interest rate and credit risk. In particular, participants will learn how to price simple interest options or Credit Default Swaps, how to compute risk measures for a bond portfolio, and how to account for counterparty risk.

In the second part of the seminar, the topic Enterprise Risk Management is covered from a more qualitative viewpoint. This will allow participants to understand and handle the entire risk universe including non-quantifiable risks and those risks for which companies traditionally do not hold capital, but manage them in other ways. Topics discussed include the concepts of risk and ERM, an overview over the 42 central elements of ERM, and a session outlining how ERM creates value for any company. Furthermore, the risk management culture including risk consciousness, accountabilities, discipline, collaboration, incentive compensation and communication is presented together with governance issues including market conduct, audit and legal risk. This part of the seminar also explains stakeholders, standards, first steps in the choice of a suitable ERM framework.

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, and they are a key element in the preparation for the CERA exam.

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

For further details and dates on EAA CERA course, visit our events page.