
Congratulations to everyone who took part in the 2020 Industry Practitioners Challenge! On Wednesday 11 March, two teams of undergraduate students from the Department of Statistics presented their analysis on real life issues faced by Aviva.
Boris Genot, Senior Quant Manager in Risk Analytics at Aviva, challenged students to analyse the interdependencies of risks in the internal model used by the Analytics and Capital Modelling Team. This had a direct impact in allocating capital and reporting to the regulator under the Solvency Capital Requirement.
Over the course of five weeks, students investigated four tasks:
1. To identify the optimal length for the time series to calculate stable correlations
2. To identify the optimal frequency for the observations in order to calculate stable correlations
3. To establish a method to annualise the correlations calculated with daily or monthly observations
4. To develop a robust model able to forecast reliable future correlations.
To tackle these tasks, teams used statistical criteria to decide which risk factors should be included in the model, cleaned the data, and implemented a Dynamic Conditional Correlation (DCC) model to estimate and forecast the risks (using computing languages Python or R). While both teams delivered strong presentations, one was chosen by Mr Genot to be overall winner.
The Industry Practitioners Challenge is highly valued by students, with one student describing it as “great experience working with Aviva”. It’s organised annually by Dr Gelly Mitrodima, Assistant Professorial Lecturer in the LSE Department of Statistics. The Department collaborates with leading industry partners to provide an opportunity for students to work on competitive projects focusing on real issues faced by companies.
Through the challenge students gain invaluable experience of working with industry experts and academic staff, as well as developing their communication and problem solving skills. Businesses (such as previous partners Aviva, JP Morgan, UBS and QBE) form strong links with LSE by helping nurture talent, while also benefitting from academics and students helping investigate problems.
Interested in working with undergraduate or postgraduate students from the LSE Department of Statistics? Speak to us about the 2021 Industry Practitioners Challenge today.