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European banking activity is governed by two main sets of rules: on the one hand, the Basel II prudential rules, which define the capital requirements required for each activity and each type of risk, and on the other hand the so-called IFRS accounting rules. (International Financial Reporting Standards). These two sets of rules mark a very clear sophistication compared to the rules that prevailed before. In particular, they integrate the mathematical tools developed by the financial industry over the last twenty years: Value-at-Risk calculation, its application to risk management, valuation of complex financial assets, etc. The sophistication has become such that accounting departments, financial departments, risk departments, auditors, supervisors, … must now call on teams of experts in quantitative methods (quants) of high level to understand and apply these rules. The Risk Management and Actuarial Science option captures these opportunities. It offers a very complete background in quantitative finance, while remaining more open and multidisciplinary.
Since the financial crisis of 2008 that led to the bankruptcy of Lehman Brothers, Western banks have put in place stress scenarios to test the resistance of banks in the worst economic conditions. Part of the training will be devoted to scenario building, backtesting and benchmarking.
Historically, the heart of the actuary’s business is the pricing of contracts (calculation of insurance premium) and the provision of future claims associated with these contracts. In non-life insurance, almost 70% of the liability consists of provisions for claims payable (PSAP). Their impact on the Company’s result makes their assessment highly strategic. This allows senior actuaries to occupy senior positions in insurance companies.
Natural disasters have a major impact on the liabilities of non-life insurance companies. We then understand that actuaries find their place in reinsurance companies to set up mechanisms for hedging and sharing risk.
Because of the inverted system of the production cycle (premium collection / claims payment), insurance companies are big asset managers from where asset-liability management is at the heart of the actuarial profession. .