MASTER CLASS
INTEREST RATE MODEL

Advanced one day program providing over seven hours of hands-on applications and case studies.

Learn stochastic modeling techniques
Explore diffusion processes for interest rates
Program Monte Carlo simulations
Program stochastic differential equations
Build interest rate models
Calibrate models using market data
Apply interest rate models to calculate risk exposure

FACULTY

Charles L. Gilbert, FSA, FCIA, CFA K. (Ravi) Ravindran, Ph.D. Robert R. Reitano, Ph.D., FSA, MAAA Andrew D. Smith, BA Harry H. Panjer, Ph.D., FSA, FCIA, Hon FIA Moshe Arye Milevsky, Ph.D. John C. Hull, Ph.D. Emily Papworth, FIAA Peter D. Tilley, FSA, MAAA Valentina A. Isakina, ASA, MAAA Naoki Matsuyama, FIAJ Stuart Jarvis, MA, DPhil, FIA Masaaki Yoshimura, FIAJ Michelle Chong-Tai Bell, FSA David N. Ingram, FSA, MAAA, LLIF, FRM Laura Santori, IAI Connie Wong, BSc, MBA Jeremy Gold, FSA, MAAA, FCA, PH.D. Gordon J. Latter, FSA Donald H. Chu, CFA Brice Benaben Aaron H. Meder, FSA, EA

KEY

)	Lecture
2	Application
¤	Case Study

G	General
I	Insurance
P	Pension

CASE STUDY

The case study approach will be used heavily throughout this course. Participants will interact with other industry professionals and learn through doing. Small workgroups will be assigned for the case studies. Some case studies will require the use of a laptop computer.

APPLICATIONS

Applications are hands-on training exercises where participants learn by applying tools and techniques to real life examples. The excercises in the application sessions are designed to be completed by each participant individually. All applications require the use of a laptop computer. ALM tools and analytics will be provided.

COURSE SCHEDULE

MASTER CLASS INTEREST RATE MODEL

AMSTERDAM, NETHERLANDS

April 9 - 10, 2008

DAY 1 April 9, 2008