Economic scenario generation and application - Using quantitative models to inform a long-term view of risk and return

Thursday 02 May 2024 | 17:00 - 18:00 | Webinar

This event has been organised by CFA UK's Performance and Risk Analysis Special Interest Group

Quantitative models, when properly used, are the most helpful tool for investment decision making, because they are consistent, objective, transparent, and efficient. An economic scenario generator helps us to consider uncertainty in our decision-making process. 

A scenario simulation does this by describing, as realistically as possible, what might (rather than what will) happen in the future. There are two important dimensions to this realism. First, a simulation should consider all elements that materially impact the consequences of decisions as realistically as possible. Second, a simulation should describe, as realistically as possible, what might happen to economies and financial markets in the future from the moment at which the investment decisions must be made.

Join us as we discover the intricacies of economic scenario generation and its diverse applications. Explore in how these scenarios are crafted and utilised across various domains to gain valuable insights into potential economic landscapes and make informed decisions.

In this webinar you will:

• Learn about key aspects of economic scenario generation, including the distinction between real-world vs. risk-neutral scenarios
• Understand how models and frameworks for capital market assumptions (CMAs) can be used responsibly, and why that requires solid governance around the assumptions
• Be aware of current topics in economic scenario generation, such as modelling of private asset returns as well as climate change.
  

This will be an interactive session, where you will have a chance to discuss this topic with an industry expert and in group discussions. 

Timings

Registration: 16:55 
Event: 17:00 - 18:00 

Speaker

Patrick Tuijp, Head of Global Clients Scenarios & Asset Valuation, Ortec Finance

Patrick Tuijp is Head of Global Clients Scenarios & Asset Valuation at Ortec Finance. Patrick and his team are responsible for supporting Ortec Finance’s global client base in their use of Ortec Finance’s real-world and risk-neutral scenario sets. Applications of these scenario sets range from ALM, SAA, and risk management to ORSA and TVOG.

Patrick joined Ortec Finance as a Quantitative Financial Analyst in September 2015 and has been in his current role since March 2019. Patrick holds a PhD in Finance from Tilburg University and was an Assistant Professor of Finance at the University of Amsterdam from September 2013 until September 2015. His research has been published in the Journal of Financial and Quantitative Analysis and the Journal of Portfolio Management.

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