Asset Liability Management for Insurance Companies
Time taken to complete each Course: Two - Three hours
1.Scope
of ALM
- Objectives
- Introduction
- Interest
Rate Risk
- Foreign
Exchange Risk
- Commodity
Risk
- Stock
Market Risk
- Liquidity
Risk
- Credit
Risk
- Short-term
Vs. Long-term
2. Overview
of ALM in Insurance Companies
- Objective
- Introduction
- Applications
- Benefits
and Limitations
- Types
of Risks
- Managing
Risks
3. A 9
part Framework of ALM
- Objectives
- Introduction
- Strategic
Framework
- Organizational
Framework
- Operational
Framework
- Analytical
Framework
- Technology
Framework
- Information
Reporting Framework
- Performance
Measurement Framework
- Regulatory
Compliance Framework
- Control
Framework
4. Strategies
for ALM
- Objectives
- Introdcution
- On Vs.
Off Balance Sheet Strategy
5. Overview
of Life and Property and Casualty Industry
- Objectives
- Introduction
- Players
- Life Insurance
Products
- Property
and Casualty Insurance Products
- Global
Landscape and Future Trends
6. Annuities
- Objectives
- Introduction
to Annuities
- Annuity
Characteristics
- Types
of Annuities
- Annuity
Calculations
- Equity
Indexed Annuities (EIA)
- Indexing
Methodologies of EIA
7. Actuarial
Principles
- Objectives
- Introduction
- Statistical
Framework
- Economic
and Behavioral Framework
- Actuarial
Modeling Principles
- Principles
Underlying Financial Security Systems
8. Reinsurance
- Objectives
- Introduction
- Types
and Methods of Reinsurance I
- Types
and Methods of Reinsurance II
- Alternative
Risk Transfer
- Functions
of Reinsurance
9. Insurance-linked
Securitization
- Objectives
- Introduction
to Insurance-linked Securitization
- Instruments
for Insurance-linked Securitization
- Insurance
Risk Structures
- Analyzing
Insurance-linked Securitization
10. Yield
Curve Analysis
- Objectives
- Introduction
to Yield Curve Analysis
- Types
of Yield Curves
- Analyzing
Yield Curve
- Bond Arbitrage
Strategies
- Application
of Yield Curve
11. Interest
Rate Gap I
- Objectives
- Introduction
to Gap
- Gap Report
- Considerations
in Slotting of Different Items
12. Interest
Rate Gap II
- Objectives
- Income
Impact
- Gap Limits
- Restructuring
Strategies
- Strengths
and Limitations
13. Simulation
and Scenario Analysis –I
- Objectives
- Introduction
to Simulation
- Measuring
Risk Positions
- Scenarios
and Results
- Simulation
Modeling
- Backtesting
14. Simulation
and Scenario Analysis –II
- Objectives
- Business
Strategies
- Monte
Carlo Simulation
- Software
Packages
- Simulation
in Insurance
- Dynamic
Financial Analysis
- Case Study
- Strengths
and Limitations
15 . Duration
I
- Objectives
- Introduction
- Duration
Vs. Yield
- Duration
Vs. Maturity
- Duration
Vs. Coupon
16. Duration
II
- Objectives
- Duration
of a Perpetual Bond
- Duration
of a Bond with Embedded Options
- Duration
of Portfolio
- Duration
of Off-Balance Sheet Items
- Approximation
in Duration
- Gap Vs.
Duration
- Payment
Frequency
- Strategies
for Risk Management
17. Duration
III
- Objectives
- Duration
of Equity and Leverages
- Examples
- Duration
of Complex Items
- Leveraged
Inverse Floaters
- Zero Coupon
Yield Curve
- Comparison
18. Convexity
- Objectives
- Introduction
- Definition
of Convexity
- Convexity
Calculation
- Convexity
and Yield
- Convexity,
Maturity, Coupon and Price Change
- Convexity
of a Portfolio
- Positive
and Negative Convexity
19. Basis
Point Value
- Objectives
- Introduction
- Calculation
of Basis Point Value for On-Balance Sheet Items
- Calculation
of Basis Point Value for Off-Balance Sheet Items
- Basis
Point Value of a Portfolio
20. Value
at Risk – I
- Objectives
- Introduction
- Measures
of Risk Exposure
- Computation
of VaR
- Strengths
and Limitations of VaR
21. Value
at Risk – II
- Objectives
- VaR for
Foreign Currency Spot and Options
- VaR for
Foreign Exchange Forward
- VaR for
Common Shares
- VaR for
Fixed Income Securities
- VaR of
a Portfolio
- Applications
of VaR
22. Application
of Analytical Techniques
- Objectives
- Introduction
- Concepts
and Assumptions
- Applications
- Practices
23. AL
Organization
- Objectives
- Introduction
- Composition
of ALCO
- Scope
of ALCO
- Properties
24. ALCO
Meetings
- Objectives
- Introduction
- ALCO Meetings
- ALCO Data
Requirements
25. ALM
Policies and Procedures
- Objectives
- Introduction
- Policy
Statement
- Procedure
Manual
- ALCO Reports
26. Audit
of ALM
- Objectives
- Introduction
- Overall
Approach
- Audit
27. Regulations
in Insurance Industry
- Objectives
- Introduction
to Insurance Regulation
- Regulatory
Measures
- Capital
Regulation
- Future
Advances
28. Software
Applications
- Objectives
- Introduction
- Prophet
- AVE
- Solcorp/Ingenium
- GGY and
AXIS
- The Yield
Book Inc
- PTS Solution
- Tillinghast/Moses
29. Case
Study – Confederation Life Insurance
- Introduction
- Lessons
to be Learnt
JOB AIDS
- Disclosures
- Regulations
- Policy
Templates
- Measurement
Tools
- Global
Best Practices
- Crossword
Calculators
in Asset Liability Management for Insurance Companies
1. Confidence Level for a given Standard Deviation
2. Standard Deviation for a given Confidence Level
3. Duration
4. Duration of a Portfolio
5. Duration using Zero Coupon Yield Curve
6. Duration of Amortizing Assets
7. Duration of uneven cash flows
8. Duration of Equity
9. Convexity
10. Convexity of uneven cash flow
11. BPV of a Bond
12. BPV of a Forward Rate Agreement (FRA)
13. BPV of a Portfolio
14. BPV of a Coupon Paying Bond
15. Value at Risk - Variance Covariance Method
16. Value at Risk for Different Weights
17. Gap Income Impact
18. Forward Rate Calculator
19. Zero Coupon Yield Calculator
20. VaR for required period and confidence level
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