ALM Techniques And Practices - Schedule

Tuesday, September 14, 2010 - Day 1
Sofitel London St James Hotel
London, United Kingdom
7:30 Registration
8:00 Breakfast
8:30 Welcome, Course Overview and Introductions
9:00 Anatomy of a Failure
Solvency II: Latest Developments
10:15 Break
10:30 ALM Best Practices
11:15 Review ALM Practices of Leading Insurance Companies
12:30 Lunch
14:00 Term Structure of Interest Rates
14:45 Derive Spot Rate Curve Using Bootstrapping Techniques
Calculate Implied Forward Curve
15:20 Break
15:30 Market Consistent Valuation
Introduction to Stochastic Modeling
16:45 Pricing Investment Guarantees
17:00 Reception with Faculty/Informal Question and Answer
18:30 End of Day 1

Wednesday, September 15, 2010 - Day 2
Sofitel London St James Hotel
London, United Kingdom
8:00 Breakfast
8:30 ALM Framework Implementation
Investment Strategy and Portfolio Optimization
10:00 Break
10:15 Fomulate ALM Strategies
11:15 Uses and Limitations of ALM Risk Measures and Analyses
12:00 Lunch
13:30 Solvency II Risk Measures
14:15 Calculate Risk Metrics and Analyze Exposure
Reverse Stress Test
15:00 Break
15:15 Quantify Interest Rate Risk Exposure
15:35 Rebalance Portfolio to Within Risk Limits
Measure Impact of Change in Interest Rates
16:30 Modeling Interest Rates
Dynamic Hedging
17:45 End of Day 2

Thursday, September 16, 2010 - Day 3
Sofitel London St James Hotel
London, United Kingdom
8:00 Breakfast
8:30 Risk Reporting and Communication
9:00 Working Session Prepare Presentations for Case Study
12:00 Lunch
13:00 Participate in Mock ALM Committee Meeting
15:00 Review and Closing Remarks / Question and Answer
16:00 End of Techniques and Practices




CFA Institute has approved this program, offered by Nexus Risk Management, for 19 CE credit hours. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.


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