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. These are 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 pension 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. The workshop is targeted at quantitative and technical analysts, risk analysts, pension fund managers and academics and is presented in an interactive format with ample time for question and answer sessions and discussions.
Key Features include:
• 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 individuals’ ALM. |
The Practical Asset & Liability Workshop covers ways to analyse ALM problems. Mathematical models are supported by illustrative cases studies, which help translate theory to practice. This allows the attendee to gain access to real solutions and techniques, which they are then able to implement for their own work.
At the end of this workshop you will have:-
• Gained insight into understanding ALM strategies
• Found out how to analyse the challenging risk management problems of ALM
• Learned from real-life case studies and research-led approaches
• Heard from experts from both academia and industry
• Acquired helpful techniques and tips on how to productively apply ALM strategies to their own and their clients’ wealth management.
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This workshop is targeted at
• Quantitative and technical analysts,
• Risk analysts,
• Fund managers,
• ALCO members of pension funds, insurance and banking industries and academics.
Strategic decision makers (CEO, CFO, CTO, CRO etc), ALCO members and fund managers from pension, insurance, banking industries and fund managers of HNI will all benefit from this course.
For Quantitative Analysts/Risk Analysts: This workshop give you an overview of the wide range to the technologies available, allowing you to define and conceptualise your business problem in terms of an optimisation problem.
For Academics and Students: Take advantage of our special academic prices to view optimisation from a business perspective, as well as receive hands-on experience with leading optimisation software.
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Time |
TOPIC |
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9:00-9:30 |
REGISTRATION & COFFEE |
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9:30-9:50 |
Ice Breaker Session
Introduction and Overview |
Gautam Mitra |
9:50-10:40 |
Stochastic Programming Decision Models for ALM |
Katharina Schwaiger & Gautam Mitra |
10:40-11:00 |
MORNING COFFEE/TEA BREAK |
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11:00-11.45 |
Simulation and Performance Evaluation Models for ALM |
Katharina Schwaiger & Gautam Mitra |
11.45-11.50 |
COMFORT BREAK |
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11.50-12.30 |
DB Pension Schemes: An insurance approach to bridge the funding gap |
Con Keating |
12.30-14.00 |
LUNCH |
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14:00-14.40 |
Considering the Discretionary Wealth Hypothesis under an Equilibrium Term Structure Approach to Asset/Liability Management |
Dan di Bartolomeo |
14.40-14.45 |
COMFORT BREAK |
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14.45-15.30 |
Scenario generation for a Swedish Pension Fund |
Dr. Joerg Wenzel |
15:30-16.00 |
TEA BREAK |
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16.00-16.45 |
Individual ALM |
Gautam Mitra |
16:45-17.15 |
Summary; Discussion and Feedback; close of workshop |
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Professor Gautam Mitra is an internationally renowned research scientist in the field of Operational Research in general and computational optimisation and modelling in particular. He has developed a world class research group in his area of specialisation with researchers from Europe, UK & USA. He has published three books and over hundred refereed research articles. He was Head of the Department of Mathematical Sciences, Brunel University between 1990 and 2001. In 2001 he has established CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications. CARISMA specialises in the research of Risk and Optimisation and their combined paradigm in decision modelling. Professor Mitra is a Director of OptiRisk Systems UK and OptiRisk India. Many of the research results of CARISMA are exploited through these companies.
Dr. Katharina Schwaiger is a KTP Post-Doc Associate at OptiRisk Systems. She received her PhD in Operational Research on the topic of "Asset and Liability Management under Uncertainty: Models for Decision Making and Evaluation" from CARISMA (Centre for the Analysis of Risk and Optimisation Modelling Applications) in 2009. Prior to this she gained a First Class BSc in Financial Mathematics from Brunel University. Her work experience includes internships in Applied Research, Equities and Asset Management at Metzler Investments and Metzler Asset Management Frankfurt, Germany, sponsored research on the topic Liability Driven Investment at Insight Investments, London and an EPSRC funded research internship at ACE Ltd, London.
Dan diBartolomeo is President and founder of Northfield Information Services, Inc. Before starting Northfield, he held the position of Director of Research at a New York investment firm, where he was responsible for investment strategy and equity, fixed-income, and derivatives research. Dan writes and lectures extensively and frequently presents papers at academic and industry meetings. He serves on the boards of the Chicago Quantitative Alliance, Woodbury College, and the American Computer Foundation, and the Boston Committee on Foreign Relations. He is an active member of the Financial Management Association, QWAFAFEW, the Southern Finance Association and the International Association of Financial Engineers. He has published numerous articles and papers in a variety of journals, has contributed chapters to several finance textbooks, and recently finished his first book on investment management for high net-worth individuals, published by the CFA Research Foundation. He received his degree in applied physics from Cornell University.
Con Keating is Head of Research at BrightonRock Group, UK. Con, a chemist and economist by training is perhaps best known for his quantitative working investment performance measurement and forecasting with techniques such as the Omega function and metrics. He has also been involved with pensions as a fund manager and trustee since the early 1970's, when he managed the NATO provident fund. His professional career included periods as an analyst with INA on P&C and large risk insurance and subsequently CIGNA in life, pensions and health-care. He chaired the European Federation of Financial Analysts' Societies committee on methods and measures from 1994 until 2001. He is a member of the steering committees of the Finance Research Institute and Financial Econometrics Research Centre at the University of Warwick, a member of the Société Universitaire Européene de Recherche en Finance and of the American Finance Association. He was also an advisor to the OECD's working party on private pensions and to the World Bank.
Dr. Gerald Kroisandt is a researcher and consultant at the Fraunhofer Institute for Industrial Mathematics in Kaiserslautern, Germany. He started at ITWM after his PhD in statistics at the University of Kaiserslautern, Germany, in 1998. His main topics at ITWM are asset liability management, consulting for ratings according to Basle II and implementation of option pricing routines. For the asset liability management, a simulation tool called ALMSim was implemented. The projects within this area were located mainly in Sweden.
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1 day: £575 + VAT
Thanks to our sponsors, there are a limited number of bursaries available for academics and research students.
For more information regarding bursaries, please contact us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com
Discounted rates for group bookings can be also arranged on request.
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