Asset and Liability Management

Teacher(s)

Barbarin Jérôme;

Language

English
> French-friendly

Main themes

After an introduction to term structure of interest rates and risk measure, the main tools of ALM are presented in a deterministic and a stochastic framework.In a second part, these techniques are applied to various pratical problems of ALM in insurance. The theoretical part is completed with reference papers and exercices

Learning outcomes

At the end of this learning unit, the student is able to :
1	The aim of this course is to present the basic principles of Asset and Liability management applied to insurance companies. At the end of the course, the students must know the ALM methods and understand the main ALM problems of an insurance companies

Content

 The following topics will be covered:

•  Assets  and Liabilities os an inssurance company and their associated risks
• ALM tools of first generation (statistic deterministic analysis
• Off-Balance sheet instruments and their uses in ALM
• ALM tools os second generation (stress tasting)
• ALM of third generation (stochastic models)
• Performance measures and Risk Measures (Value at Risk and others)
• Economic capital and Regulatory Capital (Solvency II)

Evaluation methods

Case study

Bibliography

Les transparents fournis renvoient à la littérature spécialisée.

Teaching materials

• transparents sur moodle

Faculty or entity

> LSBA