About CPD: Economic Scenario Generation for ALM (17/09/2026) - 1.5 CPD

Economic Scenario Generation for ALM

Methodology, Validation, and Model Risk

Speaker: Franky Stevens

This training focuses on the actuarial and risk-management aspects of building an internal Asset–Liability Management (ALM) model that generates economic scenarios based on historical returns across multiple asset classes. Rather than demonstrating a specific tool, the session dives into the methodological choices, validation framework, and model risk considerations that underpin scenario-based analysis.

You will gain insight into how such models are used in practice for policy simulations and stress testing, allowing organizations to move efficiently from analytical questions to informed decision-making.

After this training, you will understand:

• How economic scenarios are constructed from historical data, including data mapping, cleaning, and consistency checks

• How correlations, tail risk, and regime shifts are handled, including key limitations and possible mitigation strategies

• Validation approaches such as backtesting, sensitivity analysis, and robustness testing

• Governance considerations, including reproducibility, documentation, and maintaining a clear audit trail

• How model output is translated into policy-relevant metrics, such as shortfall probabilities and tail risk measures