Asset and Liability Management

Teacher(s)

Barbarin Jérôme;

Language

English
> French-friendly

Prerequisites

• Mastery of English at the level of LANGL1330 course.
• LACTU2170 Valorisation financière des engagements actuariels.

Main themes

Liquidity risk, interest rate risk, duration-convexity, immunization, interest rate derivatives, hedging strategies.

Content

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 understand the main ALM problems of an insurance company as well as the ALM tools that can be used to manage these.
More precisely, this course covers the following topics:

• The Assets and Liabilities of an insurance company and their associated risks.
• The main deterministic ALM tools: gap analysis, duration and convexity, key-rate durations and key-rate convexities,...
• The main stochastic ALM tools: Stochastic Asset and Liability modelling, risk-neutral valuation and delta-hedging, performance and risk measures (value-at-risk, economic and regulatory capital), replicating portfolio and least-square Monte-Carlo.

Teaching methods

The course consists of 10 lectures during which the theoretical concepts will be explained and illustrated through various examples.

Evaluation methods

The evaluation is based on a case study that will be provided during the year. Students will then be required to submit a written report, which will have then to be defended orally.

Teaching materials

• transparents sur moodle

Faculty or entity

> LSBA