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Advances in Portfolio Optimisation & Asset Liability Management

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Scope and Purpose:

Asset and liability management (ALM) strategies can be applied in a number of financial planning contexts: pension funds, insurance, banks lending and borrowing and life cycle planning for wealthy individuals. The quant models for these applications compute various risk exposures such as longevity risk, interest rate risk, inflation risk, default risk etc. These risks have to be measured and directly managed through the use of decision models. This one day in-depth workshop provides insight into "what" is the problem and "how" to analyse the challenging asset-liability mismatch problem by showing real life case studies as well as research led approaches by experts from both academia and industry. Different methodologies and strategies including alternative investments (i.e. hedge funds), the latest technologies (i.e. optimisation software) and enhancing financial products (i.e. longevity bonds, swaps or swaptions) are introduced and discussed.

For forcasting asset returns for ALM, the investment community has adopted modern portfolio theory (MPT). Time and again, such models have proven to be ineffective during the financial crises and market turmoils. Post modern portfolio theory (PMPT), however, takes into consideration downside risk control. In particular these classes of models bring into play target returns and combines this with the downside risk control; this in turn is derived out of the tail behaviour of portfolios.

The workshop is targeted at quantitative and technical analysts, risk analysts, pension fund managers and academics and is presented in an interactive format with ample time for question and answer sessions and discussions.

Risk Governance : An issue in distress

Risk management is an oft repeated topic, particularly linked to investment management and normally end up with operational managers but risk governance has far wider organization wide implications. It is also a fiduciary responsibility having bearing on organizational strategy and management accountability. There is often a conflict between various operational objectives and risk governance. Long term objectives of risk governance are sacrificed for short term growth resulting into collapse of investors interest and very basic sustainability of the organization itself. Recent turmoil in the international financial market has necessitated the importance reinventing risk governance. Though risk governance is an organization wide phenomena, we would limit our discussions to long term institutional investors like Pension Funds, Life insurance etc


IFC 2011