报告时间：12月22日9:00-10:00
报告地点：会议号：924 616 01099 会议密码：138568
会议链接：https://zoom.com.cn/j/92461601099
报告人简介：许威博士主要从事复杂金融衍生品及其投资组合定价与风险管理高性能算法的研究，其主要研究成果发表于《Journal of Economic Dynamics and Control》、《Journal of Computational Finance》与《Journal of Derivatives》等国际权威期刊之上。基于多年来对金融风险管理方法与实践的研究，许威博士于2011年合著完成了一本基于巴塞尔协议II风险管理最佳实践的著作《金融风险测量和全面风险管理——理论、应用和监管》。该著作对巴塞尔协议II下银行风险管理的三大支柱的概念，理论与实践方法进行了详细的阐述，对金融从业人员理解和实现巴塞尔协议具有很大的帮助作用。在加拿大访问期间，他参加了加拿大中宏保险(Manulife)公司关于大规模变年金投资组合风险计算的项目，提出了利用机器学习技术对组合风险进行度量，极大的提高计算的效率。在业界，许威博士与光大证券、海通期货，兴证期货等金融机构有着广泛的合作，并参与了新华社主持的金融云计算平台构建的“十一五”科技部国家科技支撑计划项目，主要负责金融模型库的设计，构建与管理的工作，获得软件著作权一项，申请发明专利一项，主持制订了多项新华社金融数据与金融模型接口的技术标准。
报告摘要：Interest rate is one of the main risks for the liability of the variable annuity (VA) due to its long maturity. However, most existing studies on the risk measures of the VA assume a constant interest rate. In this paper, we propose an efficient two-dimensional willow tree method to compute the liability distribution of the VA with the joint dynamics of the mutual fund and interest rate. The risk measures can then be computed by the backward induction on the tree structure. We also analyze the sensitivity and impact on the risk measures regards to the market model parameters, contract attributes and monetary policy changes. It illustrates that the liability of the VA is determined by the long term interest rate whose increment leads a decrease in the liability. The positive correlation between the interest rate and mutual fund generates a fat tailed liability distribution. Moreover, the monetary policy change has a bigger impact on the long term VAs than the short term contracts.