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Recent Projects

Asset Management Mandates

  • Executing ALM strategies and portfolio optimization for asset management clients.
  • Designing innovative LDI solutions for pension funds.
  • Executing an immunization strategy on a partial duration basis for a pension plan.
  • Implementing a strategic ALM framework for asset management clients.
  • Performing on-going ALM analysis and reporting for asset management clients.

Consulting Assignments

  • Working with a number of insurance companies of different sizes in the US and Canada to implement dynamic hedging programs and develop their own in-house capabilities.
  • Auditing the existing dynamic hedging program of a large EIA writer.
  • Performing a best practice review of the dynamic hedging program of a large Variable Annuity writer.
  • Modeling GMXB liabilities, calculating liability Greeks and analyzing the risk distribution of various dynamic hedging strategies for a large multinational insurance company.
  • Performing a Convexity analysis for a large US insurance company to assess whether they were fairly compensated for the second-order interest rate risk assumed.
  • Reviewing the investment and ALM strategies for multiple insurance companies in the US and Canada.
  • Performing an efficient frontier optimization to determine the strategic asset allocation for the surplus account of a medium sized Canadian life insurer.
  • Implementing an ("ERM") framework for a multinational insurance company.
  • Formulating, testing and implementing ALM strategies for a medium sized Canadian insurance company.
  • Formulating and implementing ALM strategies for large multinational reinsurer.
  • Conducting independent risk assessments and interest rate risk analyses for Canadian and US life insurance and reinsurance companies.
  • Conducting ALM best practice reviews for several Canadian and US life companies.
  • Assisting with the implementation of an (“ERM”) framework for a large Canadian life insurance company.
  • Meeting with over 80 insurance companies in the US, Canada and Europe to discuss ALM, ERM and Equity Risk Management.
  • Implementing risk management strategies including dynamic hedging and conducting related analysis for companies in Canada, US, Europe and Asia.
  • Assisting companies in the US and Asia with pricing, product development and related analysis of variable annuity and UL products with investment guarantees.
  • Pricing and product development of segregated fund products for a Canadian life insurance company.
  • Designing yield enhancement strategies using derivatives for a Canadian life insurance company.
  • Conducting an asset liability frontier analysis for an Asian life insurance company to help them perform a portfolio optimization.
  • Providing companies with tools to rebalance the portfolio and instantaneously see the impact of proposed rebalance trades on the interest rate risk exposure and economic surplus.
  • Conducting the recent CIA survey on ALM practices and organizing the focus group discussions among ALM practitioners.
  • Providing on-going assistance to insurance companies on ALM.
  • Implementing an ALM framework and providing on-going assistance for the Canadian subsidiary of a large multinational insurer.
  • Conducting an independent review of the ALM Policy Statement of a medium sized Canadian life insurance company at the request of the Audit Committee.
  • Conducting an independent risk assessment of a Canadian life company.
  • Assisting a U.S. company with the design and pricing of a variable annuity product, quantifying the associated risk exposure and developing an effective of risk management strategy to suit the desired risk/return profile of the investors.

Training

  • Developed industry leading course Asset Liability Management Techniques and Practices for Insurance and Pensions conducted globally with the Society of Actuaries.
  • Trained over 1,000 risk professional, regulators, rating agency analysts and senior management on ALM, ERM and dynamic hedging worldwide.
  • Training key Treasury staff and policy makers at the World Bank on ALM.
  • Training rating agency analysts on ALM for Standard and Poor’s.
  • Conducting training sessions for the Office of the Superintendent of Financial Institutions (“OSFI”) on ALM.
  • Conducting training sessions for industry associations in Europe and South America.
  • Providing in-house training to over 20 insurance companies on ALM, ERM and dynamic hedging worldwide.
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