Files for AFE from TIA seminar, Fall 2009

[campbell]

I just sent out an email to the live seminar students, with files intended for use with next week's seminar.

If you haven't received this email, please contact me at marypat.campbell@gmail.com

Happy studying!

[campbell]

Thought I'd share some files with the rest of y'all, that come out of the live seminar.

I've found one topic that causes a lot of confusion is the Gaussian copula.

I've implemented the Gaussian copula in an Excel spreadsheet, using a free Excel add-in [Check the second tab for info on how to get that add-in. I like using NtRand a lot for demonstration purposes.]

I've made a very simple model, with 4 bonds that have certain probabilities of default, and a constant loss given default. The fields in blue are numbers you might want to play around with, just to see what happens. If you scroll across, you will see how the correlated Gaussians are transformed into the credit losses [I also calculate VaR and CTE, in the upper right]

This goes beyond what is necessary on the syllabus, but many find the topic confusing and I think having a concrete example may help.

[campbell]

This next spreadsheet has a few examples of simple cashflow simulations for VA guarantees: GMMB, GMDB, and GMAB [with renewal at year 1].

I simulate them for two years, monthly, and I ignore lapses. The only exits are via death. [and I'm using a very simple "equities" model... I'm just trying to do something that will show both in-the-money and out-of-the-money behaviors]

[campbell]

The next file has to do with your exam strategy - last month of studying, and also what to do on exam day itself.

I refer to the following article:
http://soa.org/library/newsletters/t...-campbell.aspx

[mlschop]

Thanks for making these available on AO

[campbell]

Thought these might be helpful for AFE students in general. Everybody feel free to use these files!

[campbell]

Let me add another spreadsheet, which replicates the tables/graphs from the CSFB Credit Modeling Handbook, Chapter 2

Fun with 1-factor Gaussian copulas!

[limabeanactuary]

Some files to help this last week of the exam.

Good luck, all!