Monday, 16 September 2024
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09:00 - 10:30
An overview of ALM
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What is ALM?
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Missions of an ALM department and risks studied by ALM
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Regulation and ALM (Solvency II for insurance companies)
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10:30 - 10:40
Break
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10:40 - 12:30
Quantitative tools for ALM
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Notion of yield curve
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Gap analysis, Cash-flow matching, Duration & Convexity
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Application in ALM
Tuesday, 17 September 2024
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09:00 - 10:30
Quantitative tools for ALM: extensions
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Fisher-Weil duration and extended convexity
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Generalized duration and convexity
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Effective duration and convexity
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10:30 - 10:40
Break
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10:40 - 12:30
Interest rate hedging strategies
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Standard techniques
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Examples of interest rate derivatives
Wednesday, 18 September 2024
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09:00 - 10:30
Illustrations and Case study
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Illustrations and Exercises on Duration & Convexity
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Hedging case study
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10:30 - 10:40
Break
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10:40 - 12:30
Strategic Asset Allocation
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Introduction to multi-asset ALM tools
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Strategic Asset Allocation
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Total Return Approach
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Value-at-Risk: a brief introduction
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Illustration: ESG and SAA tool
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Preliminary programme. All the above times are given in CEST (Central European Summer Time).