Programme

WEB SESSION

14 - 16 Jun 2023

Assets and Liabilities Management (Part 1: Introduction)

Wednesday, 14 June 2023

09:00 - 10:30 An overview of ALM
What is ALM?
Missions of an ALM department and risks studied by ALM
Regulation and ALM (Solvency II for insurance companies)
10:30 - 10:45 Break
10:45 - 12:30 Optimal investment portfolio
Modern portfolio theory and efficient frontier (Markowitz)
Illustrations

Thursday, 15 June 2023

09:00 - 10:30 Quantitative tools for ALM
Matching between assets and liabilities
Notion of yield curve
Risk indicators and sensitivity: duration and convexity
10:30 - 10:45 Break
10:45 - 12:30 Quantitative tools for ALM: extensions
Duration and convexity: extensions and illustrations
Concrete examples from the industry

Friday, 16 June 2023

09:00 - 10:30 Standard hedging strategies
Immunization
Introduction to derivative products
Hedging and overlays
10:30 - 10:45 Break
10:45 - 12:30 Case study
Presentation of a full case study to solve
Step-by-step solution
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All the above times are in CEST (Central European Summer Time).

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