20 Feb 2015 11:19 PM | Yadong Wang (Administrator)

Title: Simplifying the enterprise risk data aggregation challenge – Applying the replicating portfolio techniques to facilitate enterprise risk modeling

Time: Friday, 6 March 2015 from 11:50 PM to 1:30 PM (EST)

Location: Schooner Room, 4th Floor, 44 King Street West, Toronto, ON, Canada


Speaker: Michael Zerbs, Senior Vice President & Head of RMIT, Scotiabank

Registration link:

Audience are encouraged to bring their own lunch.


Michael’s presentation will focus on how to use optimization techniques to implement large scale risk simulations. In specific, the following topics would be covered:

  • The typical data flow in typical financial institutions
  • Objectives and major challenges of Solvency II and G-SIFIs
  • What is replication and how it can address these challenges in insurance
  • Replication processes and implementations on both asset and liability portfolios
  • Common issues of replication and how to optimize its efficiency
  • Example: Variable Annuity Portfolio

If you are interested in any of these topics, please come and join us for lunch and discuss about the optimization technique of risk management!                                  

 Speaker’s Bio:

 Michael is currently working as the Senior Vice President & Head of Risk Management Information Technology (RMIT) at Scotiabank. He is mainly responsible for the development and execution of strategic technology plans to support the key functions and business lines at the enterprise level.

 Prior to joining Scotiabank, Michael was the President and Chief Operating Officer at Algorithmics. He successfully led Algorithmics to become the leading enterprise risk firm for market risk, economic capital calculation, risk dashboard, and collateral management. In 2011, IBM acquired Algorithmics and combined it with IBM OpenPages to create a new pillar of Risk Analytics within the IBM Business Analytics software division. Michael led this new unit until joining Scotiabank in May 2014.

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