Discover the different ways insurers are applying economic scenarios to manage both market and credit risk. For advanced ALM, we will dive into integrated risk assessment methodologies (including market risk and credit risk) and how their application to strategic asset allocation (SAA) frameworks can help optimize investment portfolios.
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SpeakersJack Cheyne Senior Director Moody’s Analytics
Tomer Yahalom Senior Director - Insurance Research and Strategy Moody's Analytics
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Jack is a Senior Director in the Insurance division at Moody’s Analytics, based in Edinburgh. He is responsible for Moody’s Analytics Scenario Generator product-line covering the Scenario Generator, Automation Module, Calibration Tools products and their related calibration services.
He joined Barrie & Hibbert in 2007 after completing a PhD in theoretical physics at the University of Glasgow. Jack has previously led the Implementation and Advisory services team for the Scenario Generator product line and has worked closely with clients globally, supporting them in the use of stochastic models across a range of applications in the Life Insurance, General Insurance, Pensions and Wealth Management sectors.
Tomer is a Senior Director in the Insurance Research and Strategy Group. He leads research efforts for risk management solutions for insurance companies, pensions funds and asset managers with a focus on the Americas.
Some projects Tomer’s team has been focused on include Risk Integrated Credit Solution (RICS) for a range of applications including ALM, Risk, and Portfolio Management, macro variables simulations, and risk integration across Market and Credit risks/platforms.
Prior to focusing on the insurance sector Tomer has worked on portfolio- and balance sheet-related research. He has initiated and led several research initiatives such as the modeling of complex instruments (e.g., structured products and leases) in a portfolio setting, and PPNR modeling and validation for stress testing. He also headed Moody’s Research Services team, which focuses on quantitative client service engagements.
Tomer holds a PhD in Operations, Information & Technology from Stanford University, an M.S. in Statistics from Stanford University, and a B.Sc. in Industrial Engineering and Management from Technion - Israel Institute of Technology. He has published in the areas of queuing theory, mechanism design and risk management.