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Asset Management for Actuaries

  • Enseignant(s):
  • Titre en français: Management de valorisation pour actuaires
  • Cours donné en: anglais
  • Crédits ECTS: 3 crédits
  • Horaire: Semestre d'automne 2012-2013, 2.0h. de cours (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formations concernées:

Objectifs

  • By the end of the course you should be able to comfortably discuss the structural, return and risk features of the major asset classes available to institutional investors
  • You should be able to construct simple portfolios based on the optimization methods as discussed in the lecture, and recognize the advantages/risks/limitations 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 <

I Financial Products in Insurer/PF portfolios (c. 6 sessions)

  • Equity: types, voting rights, takeovers, industry analysis, business cycles, financial leverage, trading multiples, index types
  • Credit: types, fixed income risks, government debt, ratings, private debt (security, liens, liquidation, financial covnenants), bootstrapping zero-curves, YTM, arbitrage, duration/convexity, barbell strategy
  • Real Estate to CMBS: real estate basics (commercial rents, yields, cycles, real estate P/L), real estate finance (structure, covenants, underwriting example), CMBS (idea, structure, example, issues)
  • Derivatives: forwards/futures, no-arbitarge pricing, clearing house/margin accounts, swaps, ISDA agreements, DC/BD conventions, FRAs/Euro-Dollar Futures, options (structures, BS price, put-call parity, option strategies)

II Portfolio Management (c. 6 sessions)

  • Institutional investor portfolios – life, non-life, DC and DB pension plans
  • TAA, SAA, DAA
  • Dynamic strategies: Buy/Hold, Constant Mix, CPPI, OBPI, backtesting strategies in MATLAB
  • Static portfolio theory: matrix algebra, utility maximsation, risk aversion, mean-var, two-fund separation theorem, portfolio constraints, transaction costs, QPs in standard form, true/estimated/actual frontiers, portfolio resampling, Bayesian methods, Black-Litterman, testing of methods in MATLAB
  • Idea of multi-stage portfolio optimization: dynamic programming

III ALM for Insurers/PFs (c. 2 sessions)

  • Insurer/pension fund ALM systems, regulatory constraints, LDIs, bond portfolio roll-overs vs. interest rates
  • Surplus optimization
  • Immunization
  • [ALM example for pension funds]

 

Références

  • Slide book as provided
  • Additional reading, e.g.
    > Maginn et al. (2007): Managing Investment Portfolios – a dynamic process (CFA publication).
    > Meucci (2008): Asset and Risk Allocation.
    > Scherer (2007): Portfolio Construction and Risk Budgeting.
    > 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:
Non autorisée
Calculatrice:
Autorisée avec restrictions
Evaluation:
  • 5% Class Participation
  • 30% Exercise Assignments and Case Study
  • 65% End of Term Exam, 120mins
    (written, closed book, non-programmable calculators)

 

Rattrapage


 
Examen:
Ecrit 2h00 heures
Documentation:
Non autorisée
Calculatrice:
Autorisée avec restrictions
Evaluation:
  • Replaces only End-of-Term Exam:
    65% towards final grade, 120mins
    (written, closed-book, non-programmable calculators)


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