ALM Techniques And Practices - Schedule

Wednesday, July 7, 2010 - Day 1
The New York Helmsley Hotel
New York, United States
7:30 Registration
8:00 Breakfast
8:30 Welcome, Course Overview and Introductions
9:00 Anatomy of a Failure
ALM Framework Implementations
ALM Best Practices
11:00 Break
11:15 Review ALM Practices of Leading Insurance Companies
12:30 Lunch
13:30 Term Structure of Interest Rates
14:00 Derive Spot Rate Curve Using Bootstrapping Techniques
Calculate Implied Forward Curve
14:45 Break
15:00 Market Consistent Valuation
Exotic Derivative Structures
16:15 Pricing Investment Guarantees
Value Assets and Liabilities
17:30 Reception with Faculty/Informal Question and Answer
19:00 End

Thursday, July 8, 2010 - Day 2
The New York Helmsley Hotel
New York, United States
8:00 Breakfast
8:30 Policies and Control Procedures
9:00 Fomulate ALM Strategies
10:00 Break
10:15 Uses and Limitations of Traditional Risk Measures
Advanced ALM Risk Metrics and Analyses
12:00 Lunch
13:00 Calculate Risk Metrics and Analyze Exposure
Quantify Interest Rate Risk Exposure
14:00 Rebalance Portfolio to Within Risk Limits
Measure Impact of Change in Interest Rates
15:30 Break
15:45 Modeling Interest Rates
Dynamic Hedging
17:00 End

Friday, July 9, 2010 - Day 3
The New York Helmsley Hotel
New York, United States
8:00 Breakfast
9:00 Risk Reporting and Communication
Investment Strategy and Portfolio Optimization
10:30 Break
10:45 Working Session Prepare Presentations for Case Study
12:00 Lunch
13:00 Participate in Mock ALM Committee Meeting
15:00 Review and Closing Remarks
15:30 End




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.


© Copyright Nexus Risk Management. All Rights Reserved.