Asset-Liability Management - ACTL5303


	Faculty: Faculty of Business
	School: Actuarial Studies Unit
	Course Outline: http://legacy.handbook.unsw.edu.au
	Campus: Kensington Campus
	Career: Postgraduate
	Units of Credit: 6
	EFTSL: 0.125 (more info)
	Contact Hours per Week: 3
	Equivalent: MFIN6403
	Fee Band: 2 (more info)
	Further Information: See Class Timetable

Description

This course covers the models and techniques used for the projection, valuation and risk management of asset and liability cash flows inlcudng interest sensitive liabilities and equity linked liabiltiies. Models reviewed include those for fixed and interest sensitive cash flows, equity return models and more comprehensice models including inflation and exchange rates and the application of the models in Dynamic Financial Analysis (DFA). Topics include; single and multi-period model framework; optimal asset-liability strategies; risk-neutral computation; dynamic programming; incomplete markets; ALM in insurance; DFA modeling in insurance and reinsurance.

Enrolment requires school approval.