Use of MATLAB for Solvency II Capital Modelling: The Prudential Risk Scenario

Sam Bailey, Prudential

In this session, we discuss what the Risk Scenario Generator (RSG) is and how it fits into the Prudential SII capital modelling system. We also discuss the overall architecture of the RSG, including:

  • Key components and interfaces: engines, business modules, user interface, external APIs, and simulation files
  • Plug-and-play separation of business modules from core engines for risk models (calibration and simulation), risk dependency rules (calibration and simulation), simulation validation reports, bootstrapping algorithms, and bootstrapping validation reports

Product Focus

  • MATLAB

Recorded: 19 Jun 2012