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Page Content

WEB SESSION

28 - 30 Jun 2023

Assets and Liabilities Management (Part 2: Advanced)

Wednesday, 28 June 2023

  1. 09:00 - 10:30 Stochastic modelling (Part 1)
  2. Introduction to stochastic modelling
  3. Interest rates modelling
  4. 10:30 - 10:45 Break
  5. 10:45 - 12:30 Stochastic modelling (Part 2)
  6. Continuous time models for equity indices
  7. Introduction to discrete time models for equity indices

Thursday, 29 June 2023

  1. 09:00 - 10:30 Dependence modelling (Part 1)
  2. Linear and nonlinear dependence
  3. Notion of correlation
  4. 10:30 - 10:45 Break
  5. 10:45 - 12:30 Dependence modelling (Part 2)
  6. Introduction to copulas

Friday, 30 June 2023

  1. 09:00 - 10:30 Options modelling and advanced hedging techniques
  2. Some advanced derivative products and hedging strategies in ALM
  3. Modelling and valuation of options
  4. 10:30 - 10:45 Break
  5. 10:45 - 12:30 Case studies
  6. Presentation and discussions of case studies
  7. .
  8. All the above times are in CEST (Central European Summer Time).
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