Opleiding: Asset Liability Management - Cases
eerdoelen
In this hands-on seminar the students will learn about practical implementation of an Asset Liability Management study focusing on the match between investment policies and liabilities. It involves theoretical aspects such as asset dynamics and liability modelling, numerical aspects like Monte Carlo simulation as well as practical communication and team working skills.
Inhoud
The following topics are addressed:
- Modelling the market value of liabilities including options and guarantees;
- optimisation of the strategic asset allocation when liabilities are present;
- generating an economic scenario set;
- hedging in an incomplete insurance market;
- current issues in the field of ALM.
Aanbevolen voorkennis
The course leans heavily on the MSc courses Risk Management for Insurers and Pensions and Financial Mathematics for Insurance.
Werkvorm
One three-hour lecture / interactive presentation / discussion per week (compulsory). One two-hour tutorial per week. The tutorials consist of practical work on ALM and guidance for the programming language R. A laptop with R installed is necessary for this.
- Collection of recent academic papers, available on Canvas;
- compulsory background material: Hull, J.C. (2011). Options, Futures and other Derivatives: Global Edition . Pearson, 8th edition, ISBN: 9780273759072 (c. €90).
Toetsing en toetsdata
The examination consists of:
- Final examination (written examination, open questions, 60%, 3 hours);
- cases (in groups, 40%).
The separate grades for the final examination and the cases must be at least a 5.0 to pass the course. The resit has the same format as the final examination. In case of a resit the results for the cases remain valid (in the academic year in which the course is taken). Failing the cases part means failing the course.
For examination dates, please go to UvA Timetable and the UvA Economics and Business academic calendar.
