EAA Web Session: "Assets and Liabilities Management Part 1: Introduction"

Einleitung/Dauer

For an insurance company, ensuring the proper coordination between assets and liabilities in order to achieve targeted financial objectives is of paramount interest. A strategy used to reach such objectives is "asset and liability management" (ALM in short). ALM can therefore be viewed as any ongoing process that defines, implements, and monitors financial strategies to manage assets and liabilities together.

In recent years, the modelling tools used in ALM strategies have become increasingly sophisticated and the technical aspects of current insurance regulation have increased. As a result, some ALM aspects have become more and more difficult to understand and master.

The aim of this training is to

• Define what ALM is and describe the typical missions of an ALM department in an insurance company
• Present the financial risks on which ALM classically focus as well as the requirements of the Solvency II regulation for insurance companies 
• Describe the essential quantitative ALM tools and methods used by insurance companies to evaluate and mitigate the risks 
• Illustrate the different concepts through numerical examples and case studies to make it practical and not just theoretical

Please have a look at the preliminary programme below to see the differences between Part 1 and Part 2 of this web series.

Vorgehensweise und Ziele

The training will alternate between methodological concepts, practical examples and case studies in order to ensure a comprehensive understanding of the techniques presented.

The instructor-led sessions will take place online over three days between 9:00 and 12:30.

The participants will be requested to look at two e-learning capsules (of around 30 minutes each):

• Introduction to financial products
• Main principles of asset and liability management

The e-learning capsules contain pedagogical presentations of the concepts with examples. They can be followed by the participants whenever they want between the web sessions, as pre-requisites.

The participants will perform exercises and case studies in Excel.

Examples in e-learning capsules and case studies are based on experience with Belgian companies but are not specific to Belgium and are rather applicable to most European countries.

Teilnehmer

This ALM training starts with a first part that is primarily an introduction to main concepts of ALM and is therefore particularly suited for participants coming from different departments (for instance, people dealing with own risk solvency assessment techniques or enterprise risk management) and wanting to develop a broader view on what ALM is and how it works. It is also well suited for newcomers or people wanting to refresh their mind on these concepts. Note that the training is not limited to people working in ALM or treasury departments but is also adapted to other departments.

The second part (bookable separately) is more advanced and intended for those wishing to gain more in-depth expertise on the topics. It includes some mathematical technicity, but nothing that goes further than a solid high school level.

The participants can follow a single part or both.

Technical Requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training). Please also make sure to join the web session with a stable internet connection.

Dozierende

Pierre Devolder
Professor Pierre Devolder is a founder and the current president of the board of Reacfin. He holds a MSc and a PhD in Mathematics as well as a MSc in Actuarial Science. He is an ordinary professor at the University of Louvain-la-Neuve (UCL). His activities and research are focused on quantitative finance and pension theory.

Adrien Lebègue
Adrien is a director at Reacfin. He is a mathematician and holds a PhD in Actuarial Science from the Université catholique de Louvain. He is also an Invited Lecturer at the University of Antwerp and a Qualified Actuary of the Institute of Actuaries in Belgium (IA|BE). He is in charge of the Risk Management & Finance Center of Excellence at Reacfin.

François Thirion
François holds a Bachelor’s and Master’s Degrees in Economics from Université Libre de Bruxelles as well as a Master’s Degree in Actuarial Sciences from the Université Catholique de Louvain. He also passed all three levels of the CFA Program. François joined Reacfin in January 2022.  He is currently the Head of the Risk Management & Finance Center of Excellence. François has developed a deep expertise in climate risk management and financial markets. As a Senior Consultant at Reacfin, he spearheaded the Climate Risk Practice, leading numerous projects for banks and insurance companies, including materiality assessments, quantitative scenario analyses, and roadmap developments. During his prior experience at Belfius Bank, as quantitative risk analyst, François had the opportunity to strengthen his expertise in market and model risk and was involved in the implementation of major changes of the market risk internal model.

Sprache/Kurztitel

The language of the web session will be English.