Insightful Enterprise Risk Aggregation Solution

Speakers: Antoine Beuchat, Senior Consultant, Insightful Switzerland A.G.
Janusz Milek, Director of Financial Analytics, Europe, Insightful Switzerland A.G.
Venkat Mullur, Director of Worldwide Financial Services, Insightful Inc.

Recent economic crises have demonstrated that banks and insurances should improve their risk management practices and estimate economic capital properly to avoid liquidity problems resulting from credit, market, or operational risk. While Basel II and Solvency II guidelines provide a sound basis for economic capital calculations, individual financial institutions still need to implement models, and manage the operational details as part of their compliance activities. Among other things, these details comprise

* Arriving at realistic assumptions to model high-quantile risk dependence structures,
* Designing data flows from individual modeling systems into the economic capital models
* Ensuring data consistency
* Performing what-if analyses, and
* Supporting operational workflows to enable multiple players in the risk management and capital management areas to model and view the results of the risk calculations.

Insightful’s Enterprise Risk Aggregation (ERA) solution squarely addresses the above issues. It constitutes a flexible and cost-effective solution, capable of economic capital calculations in both the banking and insurance areas. The foundation on which the Insightful ERA solution rests is S+, our robust and time-tested statistical modeling platform. With S+, complex simulation models can be created, leveraged, and efficiently run within minutes.

In addition, the ERA solution consists of a cutting-edge metadata management component, RiskHyperCUBE, and SolvSim, which is a simulation engine that can take in a variety of input types for marginal distributions, uses copulas to model the aggregate distribution and complex dependence structures.

During our web presentation, we will demonstrate parts of the solution through a graphical user interface, to walk the participant through a typical risk aggregation workflow, from input specification, simulation, to relevant risk-related graphical outputs.

Antoine Beuchat is Senior Consultant at Insightful in Financial Services Switzerland holding a Masters degree in micro-engineering from the Swiss Federal Institute of Technology (EPFL). Mr. Beuchat has been involved as pre-sales consultant and leader in the development of customer and proprietary solution in the risk modeling and management area for major international insurances. During his working experiences and his education Mr. Beuchat had the opportunity to apply variety of sophisticated numerical techniques to analyze statistical models in the financial industry. His topics of interest include quantitative finance in risk and asset management.

Dr. Janusz Milek works at Insightful Corporation as a Director of Financial Analytics, Europe. He is involved in the solution development, pre-sales activities, and customer projects in the area of enterprise-wide risk management, supply chain optimization, tax yield prediction, and data quality monitoring. Mr. Milek holds a Master's degree in Electronics Engineering from Warsaw Technical University and a Doctorate in Technical Sciences from the Swiss Federal Institute of Technology (ETH) in Zurich. His experience, training, and research comprise risk modeling, time series analysis, process control, and signal processing. Dr. Milek delivers courses on financial and industrial applications of time series analysis.

Venkat Mullur is Director, Worldwide Financial Services at Insightful Corporation. His topics of interest include financial risk management, global regulatory & compliance imperatives, and application of portfolio methods to capital management. Mr. Mullur divides his time between North America and Europe, working with key Insightful customers, supporting pre-sales activities, and presenting at leading finance forums. Prior to Insightful, Mr. Mullur was at IBM (Global Business Services) where he advised large global banks on Basel II-related compliance activities. Mr. Mullur holds an MBA in finance from Northwestern University’s Kellogg School of Management, and has a Master’s degree in mechanical engineering from the University of Miami. At industry forums, he has presented on a variety of contemporary topics in the world of finance. He is a regulator contributor to Wilmott Magazine, a leading publication serving the quantitative finance community.

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