5 credits
30.0 h
Q2
Teacher(s)
Barbarin Jérôme;
Language
English
Prerequisites
The prerequisite(s) for this Teaching Unit (Unité d’enseignement – UE) for the programmes/courses that offer this Teaching Unit are specified at the end of this sheet.
Main themes
After an introduction to term structure of interest rates and risk measure, the main tools of ALM are presented in a deterministic and a stochastic framework.In a second part, these techniques are applied to various pratical problems of ALM in insurance. The theoretical part is completed with reference papers and exercices
Aims
At the end of this learning unit, the student is able to : | |
| 1 | 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 know the ALM methods and understand the main ALM problems of an insurance companies |
The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.
Content
The following topics will be covered:
- Assets and Liabilities os an inssurance company and their associated risks
- ALM tools of first generation (statistic deterministic analysis
- Off-Balance sheet instruments and their uses in ALM
- ALM tools os second generation (stress tasting)
- ALM of third generation (stochastic models)
- Performance measures and Risk Measures (Value at Risk and others)
- Economic capital and Regulatory Capital (Solvency II)
Evaluation methods
Case study
Bibliography
Les transparents fournis renvoient à la littérature spécialisée.
Faculty or entity
LSBA
