Sale Date Ended
Scope and Purpose:
Asset and liability management (ALM) strategies can be applied in a number of financial planning contexts: pension funds, insurance, banks lending and borrowing and life cycle planning for wealthy individuals. The quant models for these applications compute various risk exposures such as longevity risk, interest rate risk, inflation risk, default risk etc. These risks have to be measured and directly managed through the use of decision models. This one day in-depth workshop provides insight into "what" is the problem and "how" to analyse the challenging asset-liability mismatch problem by showing real life case studies as well as research led approaches by experts from both academia and industry. Different methodologies and strategies including alternative investments (i.e. hedge funds), the latest technologies (i.e. optimisation software) and enhancing financial products (i.e. longevity bonds, swaps or swaptions) are introduced and discussed.
* Introduction to practical asset and liability management principles
* Explanation of the key risk features affecting the ALM problem
* Measurement and management of the key risk factors
* Implementation of quantitative models to bank borrowing and lending, pension funds, insurance companies, bank borrowing and lending, and individual ALM: iALM
* Alternative computational models of portfolio choice
Benefits of attending:
At the end of this workshop the attendees will:
* Gain insight into understanding ALM strategies
* Find out how to analyse the challenging risk management problems of ALM
o Learn from real-life case studies and research-led approaches
o Hear from experts from both academia and industry
o Acquire helpful techniques and tips on how to productively apply ALM strategies to their own and their clients' wealth management.
* Understand the pitfalls of Modern Portfolio Theory (MPT)
* Learn the concepts of PMPT, which can help to generate superior returns while controlling the downside risk.
* Quantitative analysts.
* Risk analysts,
* Financial Risk Consultants
* Fund managers of hedge funds, mutual funds, insurance and pension funds and
* ALCO members of Insurance, pension and banks.
* Academicians and students specializing in Financial Risk