Elliot Varnell - Academia.edu (original) (raw)

Papers by Elliot Varnell

Research paper thumbnail of Economic Scenario Generators and Solvency II ‐ Abstract of the Discussion

British Actuarial Journal, May 23, 2011

Research paper thumbnail of Modern Valuation Techniques

He worked as a scientist before joining Bacon & Woodrow in 1996. He is currently studying to beco... more He worked as a scientist before joining Bacon & Woodrow in 1996. He is currently studying to become an actuary. His actuarial work has included Prophet development, stochastic model development and software design.

Research paper thumbnail of Modelling Extreme Market Events. A Report of the Benchmarking Stochastic Models Working Party. Abstract of the Discussion Held by the Faculty of Actuaries

British Actuarial Journal, 2009

This paper focusses on some practical issues that can arise when developing methodologies for cal... more This paper focusses on some practical issues that can arise when developing methodologies for calculating benchmark figures for extreme market events, particularly in the context of the Financial Services Authority's ICAS regime. The paper limits discussion to equity and interest rate risks. Whilst not intended to constitute formal guidance, it is hoped that the material contained within the paper will be useful to practitioners. The paper acknowledges the role of prior beliefs in the choice of data to be used for modelling and its influence upon the ensuing results.

Research paper thumbnail of Economic Scenario Generators and Solvency II

British Actuarial Journal, May 23, 2011

The Solvency II directive mandates insurance firms to value their assets and liabilities using ma... more The Solvency II directive mandates insurance firms to value their assets and liabilities using market consistent valuation. For many types of insurance business Economic Scenario Generators are the only practical way to determine the market consistent value of liabilities. The directive also allows insurance companies to use an internal model to calculate their solvency capital requirement. In particular, this includes use of ESG models. Regardless of whether an insurer chooses to use an internal model, Economic Scenario Generators will be the only practical way of valuing many life insurance contracts. Draft advice published by CEIOPS requires that insurance firms who intend to use an internal model to calculate their capital requirements under Solvency II need to comply with a number of tests regardless of whether the model (or data) is produced internally or is externally sourced. In particular the tests include a Use Test, mandating the use of the model for important decision making within the insurer. This means that Economic Scenario Generators will need to subject themselves to the governance processes and that senior managers and Boards will need to understand what Economic Scenario Generator (ESG) models do and what they don't do. In general, few senior managers are keen practitioners of stochastic calculus, the building blocks of ESG models. The paper therefore seeks to explain Economic Scenario Generator models from a non-technical perspective as far as possible and to give senior management some guidance of the main issues surrounding these models from an ERM/Solvency II perspective.

Research paper thumbnail of Dependencies and aggregations "Wide diversification is only required when investors do not understand what they are doing" - Warren Buffett

Research paper thumbnail of Modelling the Extended Enterprise

This can be partially explained by the nature of the increasingly interdependent world we occupy,... more This can be partially explained by the nature of the increasingly interdependent world we occupy, along with the heightened number and diversity of stakeholders involved in the vast majority of modern enterprises. As a result, emergent issues and cascading failures, defined by far-reaching impact within the EE are increasingly becoming the rule rather than the exception, challenging our capacity to effectively and efficiently manage the 21 century organisation (Cantle et. al. 2013).

Research paper thumbnail of Economic Scenario Generators and Solvency II ‐ Abstract of the Discussion

British Actuarial Journal, 2011

This abstract relates to the following paper:VarnellE.M.Economic Scenario Generators and Solvency... more This abstract relates to the following paper:VarnellE.M.Economic Scenario Generators and Solvency II. British Actuarial Journal, doi:10.1017/S1357321711000079

Research paper thumbnail of Components of Yield Curve Movements Illustrative Worked Examples An Interim Report of The Stress Test Working Party Finance, Investment and

This working paper is an extract from a larger forthcoming paper from the Stress Tests working pa... more This working paper is an extract from a larger forthcoming paper from the Stress Tests working party. We may modify this material prior to final publication, and we welcome readers' suggested improvements. The yield curve on a particular date describes variations in interest rates as a function of the term for which a deposit is committed. Movements in the yield curve from one period to the next are an important driver of profits and losses for most financial institutions. So-called "full models" of yield curves, treat every point of the curve as a random variable in its own right. However, most firms prefer to use "component models". For example, the first component might be the level of the yield curve; the second component might be its slope and the third component its curvature. A firm's sensitivities to changes in each of these components are combined to assess the firm's resilience to yield curve movements. This note considers several ways to decompose a full model into components, including polynomials, principal components and variance matching.

Research paper thumbnail of Modern valuation techniques

Staple Inn Actuarial …, 2001

He worked as a scientist before joining Bacon & Woodrow in 1996. He is currently studying to beco... more He worked as a scientist before joining Bacon & Woodrow in 1996. He is currently studying to become an actuary. His actuarial work has included Prophet development, stochastic model development and software design.

Research paper thumbnail of Economic Scenario Generators and Solvency II ‐ Abstract of the Discussion

British Actuarial Journal, May 23, 2011

Research paper thumbnail of Modern Valuation Techniques

He worked as a scientist before joining Bacon & Woodrow in 1996. He is currently studying to beco... more He worked as a scientist before joining Bacon & Woodrow in 1996. He is currently studying to become an actuary. His actuarial work has included Prophet development, stochastic model development and software design.

Research paper thumbnail of Modelling Extreme Market Events. A Report of the Benchmarking Stochastic Models Working Party. Abstract of the Discussion Held by the Faculty of Actuaries

British Actuarial Journal, 2009

This paper focusses on some practical issues that can arise when developing methodologies for cal... more This paper focusses on some practical issues that can arise when developing methodologies for calculating benchmark figures for extreme market events, particularly in the context of the Financial Services Authority's ICAS regime. The paper limits discussion to equity and interest rate risks. Whilst not intended to constitute formal guidance, it is hoped that the material contained within the paper will be useful to practitioners. The paper acknowledges the role of prior beliefs in the choice of data to be used for modelling and its influence upon the ensuing results.

Research paper thumbnail of Economic Scenario Generators and Solvency II

British Actuarial Journal, May 23, 2011

The Solvency II directive mandates insurance firms to value their assets and liabilities using ma... more The Solvency II directive mandates insurance firms to value their assets and liabilities using market consistent valuation. For many types of insurance business Economic Scenario Generators are the only practical way to determine the market consistent value of liabilities. The directive also allows insurance companies to use an internal model to calculate their solvency capital requirement. In particular, this includes use of ESG models. Regardless of whether an insurer chooses to use an internal model, Economic Scenario Generators will be the only practical way of valuing many life insurance contracts. Draft advice published by CEIOPS requires that insurance firms who intend to use an internal model to calculate their capital requirements under Solvency II need to comply with a number of tests regardless of whether the model (or data) is produced internally or is externally sourced. In particular the tests include a Use Test, mandating the use of the model for important decision making within the insurer. This means that Economic Scenario Generators will need to subject themselves to the governance processes and that senior managers and Boards will need to understand what Economic Scenario Generator (ESG) models do and what they don't do. In general, few senior managers are keen practitioners of stochastic calculus, the building blocks of ESG models. The paper therefore seeks to explain Economic Scenario Generator models from a non-technical perspective as far as possible and to give senior management some guidance of the main issues surrounding these models from an ERM/Solvency II perspective.

Research paper thumbnail of Dependencies and aggregations "Wide diversification is only required when investors do not understand what they are doing" - Warren Buffett

Research paper thumbnail of Modelling the Extended Enterprise

This can be partially explained by the nature of the increasingly interdependent world we occupy,... more This can be partially explained by the nature of the increasingly interdependent world we occupy, along with the heightened number and diversity of stakeholders involved in the vast majority of modern enterprises. As a result, emergent issues and cascading failures, defined by far-reaching impact within the EE are increasingly becoming the rule rather than the exception, challenging our capacity to effectively and efficiently manage the 21 century organisation (Cantle et. al. 2013).

Research paper thumbnail of Economic Scenario Generators and Solvency II ‐ Abstract of the Discussion

British Actuarial Journal, 2011

This abstract relates to the following paper:VarnellE.M.Economic Scenario Generators and Solvency... more This abstract relates to the following paper:VarnellE.M.Economic Scenario Generators and Solvency II. British Actuarial Journal, doi:10.1017/S1357321711000079

Research paper thumbnail of Components of Yield Curve Movements Illustrative Worked Examples An Interim Report of The Stress Test Working Party Finance, Investment and

This working paper is an extract from a larger forthcoming paper from the Stress Tests working pa... more This working paper is an extract from a larger forthcoming paper from the Stress Tests working party. We may modify this material prior to final publication, and we welcome readers' suggested improvements. The yield curve on a particular date describes variations in interest rates as a function of the term for which a deposit is committed. Movements in the yield curve from one period to the next are an important driver of profits and losses for most financial institutions. So-called "full models" of yield curves, treat every point of the curve as a random variable in its own right. However, most firms prefer to use "component models". For example, the first component might be the level of the yield curve; the second component might be its slope and the third component its curvature. A firm's sensitivities to changes in each of these components are combined to assess the firm's resilience to yield curve movements. This note considers several ways to decompose a full model into components, including polynomials, principal components and variance matching.

Research paper thumbnail of Modern valuation techniques

Staple Inn Actuarial …, 2001

He worked as a scientist before joining Bacon & Woodrow in 1996. He is currently studying to beco... more He worked as a scientist before joining Bacon & Woodrow in 1996. He is currently studying to become an actuary. His actuarial work has included Prophet development, stochastic model development and software design.