Researcher

Céline Azizieh

Research Expertise:Expertise in financial modelling for insurance and banking. More precisely models used by companies and banks to assess (and quantify) their solvency. Focus on ALM and market risk.

Keywords:MONTE CARLO SIMULATIONS, ACTUARIAL AND FINANCIAL MATHEMATICS, Mathematics

Disciplines:Applied mathematics in specific fields, Statistics and numerical methods not elsewhere classified

Research techniques:Techniques for constructing scenarios of evolution for different market variables at several time horizons. Techniques for assessing ALM risk in the balance sheet of an insurance company. Techniques also for building risk neutral scenarios in the framework of assessing the level of technical provisions under the Solvency II regulation, including optionalities. Mathematical techniques used: stochastic processes in continuous time, including diffusions, processes with jumps and/or stochastic volatility.

Users of research expertise:Banks and insurance companies. Potentially also energy providers, since they are exposed to financial risks linked to commodities, for which the same type of techniques can be used. Potentially also the ministry of finance, or the National Bank of Belgium (in its role of regulator of the financial sector).