At the beginning of 2020, the coronavirus COVID-19 disrupted the world in a manner that hardly anyone was prepared for. A vast amount of resources is required to get through this phase. For insurance companies, this means facing greater uncertainty regarding the management of financial risks on their balance sheet at a time when they are already dealing with the low interest rate environment and major regulatory changes, such as IFRS 17.
As with famous movie franchises like Star Wars, The Avengers and James Bond, many risk management professionals have had to wait a few years for the next episode of the Zanders Risk Management Seminar.
Creating a future stress scenario for the yield curve is not easily done. Above all, it is something that has to be done carefully, because it can have negative repercussions for a financial institution.
During the past 20 years, mobile services have changed so much in our lives – from ordering a taxi, eating out, or simply the way that we communicate with one another. Relatively speaking, banks have lagged behind this digital progress, but it seems like this is now changing.
A part of the curriculum of the Econometrics & Mathematical Economics master’s degree given in the VU University Amsterdam is the course Time Series Econometrics. In this course, students are taught how to analyze time series with the aid of ‘state-space models’, on the assumption that observations over time (such as the content of the Nile, for example) are driven by non-observed factors.