Collection of notebooks that actuaries use in model validation and when interacting with the European regulator.
| Procedure | Source | Description |
|---|---|---|
| EIOPA RFR monthly tests | EIOPA RFR technical information | Each monthly submission is recalculated to make sure the given curve is correct |
| Metropolis Hastings likelihood test | Metropolis-Hastings parameter estimation | Bayesian maximum likelihood of a Black Sholes stochastic scenario generator |
| Hull-White Scenarios check | Example_from_lecture | Checks if # of stochastic scenarios is large enough to cover term structure |
| Algorithm | Description |
|---|---|
| Validation of Deterministic scenarios | Validation of the deterministic scenario with monthly steps |
| Validation of stochastic scenarios | Validation of the stochastic risk neutral scenario with monthly steps and a single source of noise |
New suggestions are welcome.
If anybody is interested in publishing something they implemented, or help with the project, contact us and we will make it happen.
Queries and suggestions; [email protected]