The Extreme Events Working Party is a cross practice Working Party that aims for a better and wider understanding of the various methodologies that could be used for modelling extreme event used in capital modelling, including the advantages and disadvantages of each methodology. 

Chair: James Sharpe 

Established: 2008

Published content

• SIAS presentation: Modelling Extreme Credit Events
• Life Conference 2017: Internal Model Calibration Using Overlapping Data
• Presentation to the CAS: What’s Happening to Interest Rates?
• The Evolution of Economic Scenario Generators
• Calibration of transition risk for corporate bonds
• Calibration of VaR models with Overlapping Data
• Modelling Extreme Market Events. A Report of the Benchmarking Stochastic Models Working Party
• Article: Difficult risks and capital models