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Asset Management for Actuaries

  • Enseignant(s): S.Thonhauser
  • Titre en français: Management de valorisation pour actuaires
  • Cours donné en: anglais
  • Crédits ECTS: 3 crédits
  • Horaire: Semestre d'automne 2013-2014, 2.0h. de cours (moyenne hebdomadaire)
  •  séances
  • Formation concernée: Maîtrise universitaire ès Sciences en sciences actuarielles

[erreur] Le syllabus du cours est entrain d'être modifié par le professeur responsable. Veuillez consulter cette page à nouveau dans quelques jours. --- A titre informatif uniquement, voici l'ancien syllabus :

Objectifs

  • By the end of the course you should have an overview of different assets classes and know aspectes of their stochastic modeling.
  • You should be able to construct portfolios based on the optimization methods as discussed in the lecture, and recognize the advantages/shortfalls of the methods employed
  • In the context of insurance/PF ALM, you should understand the necessity of a well-developed ALM system, immunization strategies to mitigate interest rate and FX risk and other simple ALM/LDI techniques in the context of insurer and pension fund portfolios

Contenus

> Note that the syllabus as below is subject to adaptation <

  • Portfolio allocation strategies:
  1. 1-period models: mean-variance problems (reminder & extensions), problem of utility maximization from mathematical finance
  2. Multi-period models: dynamic models for various asset classes (equity, fixed income, derivatives...), classical strategies (Buy & Hold, CPPI), multiperiod optimization (Merton problem)
  • Introduction to Monte Carlo Simulation: basic concept, simulation of stochastic processes, evaluation of risk measures, variance reduction techniques
  • Integrated asset model
  1. Set up of factor model, describing evolution of various asset
  2. Evaluation of risk measures and test of allocation strategies by use of simulation methods

 

 

 

Références

  • Slide book as provided
  • Additional reading, e.g.
    1. Fabozzi et al. (2007): Financial modeling of the equity market.
    2. Meucci (2008): Asset and Risk Allocation.
    3. Scherer (2007): Portfolio Construction and Risk Budgeting.
    4. Zenios ed. (2007): Handbook of Asset Liability Management.

Pré-requis

No hard prerequisites, but you should be familiar with the contents of

  • Quantitative Methods for Actuaries
  • Probability and Stochastic Processes
  • Principles of Finance

Evaluation


 

1ère tentative


 
Examen:
Ecrit 2h00 heures
Documentation:
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Calculatrice:
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Rattrapage


 
Examen:
Ecrit 2h00 heures
Documentation:
Non autorisée
Calculatrice:
Autorisée avec restrictions
Evaluation:


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