Day 1 - 20 June 2011

0730 Registration

0800 Breakfast

0830 Welcome, Course Overview and Introductions

0900 Lecture

• L1 Anatomy of a failure
• L2 ALM framework implementation
• L3 ALM best practices

1100 Break

1115 Case Study

• C1 Review ALM Practices of leading insurance companies

1230 Lunch

1330 Lecture

• L4 Term structure of interest rates

1400 Applications

• A1 Derive spot rate curve using bootstrapping techniques
• A2 Calculate implied forward curve

1445 Break

1500 Lecture

• L5 Market consistent valuation
• L6 Exotic derivative structures

1615 Applications

• A3 Pricing investment guarantees
• A4 Value assets and liabilities

1730 Reception with faculty/informal Q&A

1930 End of day 1

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4. Call us on + 852 3411 4737