TECHNIQUES & PRACTICES
Intensive hands-on training on ALM techniques, practices and advanced applications. Participants receive content-rich course materials along with valuable utilities and templates. Two tracks are offered for 2007:
Techniques and Practices for Insurance
Techniques and Practices for Pensions Pre-course material, assigned readings and a number of application exercises will be provided for the participant to cover outside of class time. Participants will also be trained to use several valuable utilities and templates that are yours to keep and provided as part of the course fee. Be prepared to roll up your sleeves!
FACULTY
Charles L. Gilbert, FSA, FCIA, CFA K. (Ravi) Ravindran, Ph.D. Robert R. Reitano, Ph.D., FSA, MAAA Andrew D. Smith, BA Harry H. Panjer, Ph.D., FSA, FCIA, Hon FIA Moshe Arye Milevsky, Ph.D. John C. Hull, Ph.D. Emily Papworth, FIAA Peter D. Tilley, FSA, MAAA Valentina A. Isakina, ASA, MAAA Naoki Matsuyama, FIAJ Stuart Jarvis, MA, DPhil, FIA Masaaki Yoshimura, FIAJ Michelle Chong-Tai Bell, FSA David N. Ingram, FSA, MAAA, LLIF, FRM Laura Santori, IAI Connie Wong, BSc, MBA Jeremy Gold, FSA, MAAA, FCA, PH.D. Gordon J. Latter, FSA Donald H. Chu, CFA Brice Benaben Aaron H. Meder, FSA, EA
KEY
) |
Lecture |
2 |
Application |
¤ |
Case Study |
G |
General |
I |
Insurance |
P |
Pension |
CASE STUDY
The case study approach will be used heavily throughout this course.
Participants will interact with other industry professionals and learn through doing. Small workgroups will be assigned for the case studies. Some case studies will require the use of a laptop computer.
APPLICATIONS
Applications are hands-on training exercises where participants learn by applying tools and techniques to real life examples.
The excercises in the application sessions are designed to be completed
by each participant individually. All applications require the use of a laptop
computer. ALM tools and analytics will be provided.COURSE SCHEDULE
TECHNIQUES AND PRACTICES FOR PENSIONS
TORONTO, CANADA
June 11 - 12, 2008
DAY 1 June 11, 2008
7:30
Registration
Registration 8:00Breakfast
Breakfast 8:30
Welcome, Course Overview and Introductions
C. Gilbert
C. Gilbert
8:50
Lessons from "The Perfect Storm"
G. Latter
G. Latter
9:20
Overview of ALM Approaches for Pensions
G. Latter
G. Latter
9:50
Asset Liability Studies
A. Meder
A. Meder
10:30
Break
10:45
The Term Structure of Interest Rates
K. Ravindran
K. Ravindran
11:15
Derive spot rate curve using bootstrapping techniques
C. Gilbert
C. Gilbert
11:45
Calculate implied forward curve
C. Gilbert
C. Gilbert
12:15
Lunch
13:30
Valuation Methods
K. Ravindran`
K. Ravindran`
14:00
Value assets and liabilities
C. Gilbert
C. Gilbert
14:30
Identifying Risks
C. Gilbert
C. Gilbert
15:15
Break
15:30
Calculate risk metrics and analyze exposure
C. Gilbert
C. Gilbert
16:00
Quantify interest rate risk exposure
C. Gilbert
C. Gilbert
16:30
Apply ALM techniques
Pension Faculty
Pension Faculty
17:15
Formulate ALM strategies
Pension Faculty
Pension Faculty
18:00
Reception with Faculty / Informal Q & A
19:00
End
8:00Breakfast
Breakfast 8:30
Rebalance portfolio to within risk limits
Pension Faculty
Pension Faculty
9:45
Measure impact of change in interest rates
Pension Faculty
Pension Faculty
10:00
Break
10:15
Financial Economics
C. Gilbert
C. Gilbert
11:00
Determine asset mix using efficient frontier analysis
C. Gilbert
C. Gilbert
11:20
Exotic Derivative Structures
K. Ravindran
K. Ravindran
11:50
Binomial Model
C. Gilbert
C. Gilbert
12:30
Lunch
13:30
LDI Framework
A. Meder
A. Meder
14:15
Products Offered
A. Meder
A. Meder
14:45
Risk Reporting and Communication
Pension Faculty
Pension Faculty
15:30
Break
15:45
Formulate ALM Strategy for Pension Fund
Pension Faculty
Pension Faculty
17:00
End
DAY 3 June 12, 2008
8:00Breakfast
Breakfast 8:30
Formulate ALM Strategy for Pension Fund
Pension Faculty
Pension Faculty
9:30
Break
9:45
Shareholder Value Maximization
A. Meder
A. Meder
10:15
Implement Shareholder Value Paradigm
Pension Faculty
Pension Faculty
11:45
Review and Closing Remarks
12:00
End of Techniques and Practices