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Workshop Day 1 08/12/2009 | Workshop Day2 09/12/2009 | ALM Panel Discussion
Asset and Liability Management: One-day hands-on Workshop
Date: 9th December, 2009
Duration: One Full Day
Venue: Sunville Banquet, Worli, Mumbai
Presenters:
Prof. Gautam Mitra, CARISMA, Brunel University, London
Dr. Leela Mitra, CARISMA, Brunel University, London
Dr. Katharina Schwaiger, CARISMA, Brunel University, London
Benefits: This one-day hands-on workshop on Asset and Liability Management (ALM) will give you the opportunity to implement your own ALM study. First, you will be introduced to some of the key mathematical programs such as deterministic linear programming, stochastic programming, chance constrained programming and integrated chance constrained programming, which form the foundation for solving the ALM problems. Next, both standard and state-of-the-art scenario generation methods will be introduced to represent the uncertainties on both assets and liabilities side. Finally, you will use AMPL Studio to model and solve the ALM problem as a deterministic problem and then use SPInE to reformulate it as a stochastic problem to capture the uncertainties. This hands-on workshop complements the more practical ALM workshop presented in a managerial setting.
Topics Covered:
- Introduction to Practical Asset and Liability Management Principles
- Introduction to Mathematical Programming
- Introduction to Scenario Generation
- Desirable Properties
- Asset Price Dynamics
- Liability Modelling
- Factor Models
- Hands-on Session:
- Introduction to AMPL
- Data Input/Output to AMPL
- Introduction to SAMPL/SPInE
Target Audience: This workshop is targeted at quantitative and technical analysts, risk analysts, fund managers, ALCO members of pension funds, insurance and banking industries and academics.
Workshop Fees :
| Practical ALM | ALM Hands on | Both | |
| Industry | 14,650/- | 14,650/- | 26,450/- |
| Academics | 8,000/- | 8,000/- | 14,500/- |
| Research Students | 5,500/- | 5,500/- | 10,000/- |
| (Service taxes extra) | |||
Early Bird Special:Avail an additional 10% discount by registering before 31st of October 2009. Avail an additional 5% discount by registering before 15th of November 2009. This is in addition to the 10% discount, if registered for both workshops together.
Registration : For registration and more information on the workshop or to find out about exhibition, sponsorship, please contact Padmakumar. Bala, at contact@optiriskindia.com.
Ph: +91 9940032166 / +91 44 24510891.
Workshop Programme
Time |
Topic |
Presenter |
9:00-9:30 |
Coffee |
|
9:30-9:40 |
Ice Breaker Session |
Prof. Gautam Mitra |
9:40-10:30 |
Stochastic Programming: optimum decision making under uncertainties |
Prof. Gautam Mitra |
10:30-11:00 |
Coffee Break |
|
11:00-11:30 |
Scenario Generation: Overview and Desirable Properties |
Dr. Leela Mitra |
12:30-13:30 |
Lunch |
|
13:30-14:00 |
Introduction to AMPL and Stochastic Extensions to AMPL: SAMPL and SPInE |
Dr. Katharina Schwaiger |
14:00-15:00 |
Hands-on Training: ALM model |
Dr. Leela Mitra, |
15:00:15:30 |
Mixture distribution scenario generation for investment decisions with downside risk | Dr. Leela Mitra |
15:30-15:45 |
Tea Break |
|
15:45-16:15 |
Risk and Performance Measures |
Dr. Katharina Schwaiger |
16:15-17:15 |
Hands-on Training: Chance Constraint and Integrated Chance Constraint formulations |
Dr. Leela Mitra, |
17:15-17:30 |
Discussion and feedback |
Speaker Profile
Prof. Gautam Mitra is an internationally renowned research scientist in the field of Operational Research in general and computational optimisation and modelling in particular. He has developed a world class research group in his area of specialisation with researchers from Europe, UK & USA. He has published three books and over hundred refereed research articles. He was the Head of the Department of Mathematical Sciences, Brunel University between 1990 and 2001. In 2001, he has established CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications. CARISMA specialises in the research of Risk and Optimisation and their combined paradigm in decision modelling. Professor Mitra is a Director of OptiRisk Systems UK and OptiRisk India. Many of the research findings of CARISMA are exploited through these companies.
Dr. Katharina Schwaiger is a KTP Post-Doc Associate at OptiRisk Systems. She received her PhD in Operational Research on the topic of "Asset and Liability Management under Uncertainty: Models for Decision Making and Evaluation" from CARISMA (Centre for the Analysis of Risk and Optimisation Modelling Applications) in 2009. Prior to this she gained a First Class BSc in Financial Mathematics from Brunel University. Her work experience includes internships in Applied Research, Equities and Asset Management at Metzler Investments and Metzler Asset Management Frankfurt, Germany, sponsored research on the topic Liability Driven Investment at Insight Investments, London and an EPSRC funded research internship at ACE Ltd, London.
Dr. Leela Mitra joined OptiRisk System as a Quantitative Analyst in 2004. She received her PhD in Operational Research on the topic of “Scenario generation for asset allocation models” from CARISMA (Centre for Analysis of Risk and Optimisation Modelling), Brunel University. She received a 1st Class BA (Joint Honours) degree in Mathematics and Philosophy from King's College, London (University of London). Prior to joining OptiRisk, she worked as an Actuarial Consultant for Mercer HR and Jardine Lloyd Thomson in the pensions industry. The jobs involved financial modeling and consultancy. She has also completed the Diploma in Actuarial Techniques. Her industrial projects include development of a Liability Driven Investment (LDI) system for Insight Investments and a portfolio allocation model with long short holdings for UBS. She also undertook funded research for RavenPack International, on the application of news sentiment to trading and risk models. Her research area is focussed on asset pricing models for scenario generation and also asset allocation models. This includes portfolio planning models with cardinality restrictions and Asset Liability Management problems which are represented as Stochastic Programming models. Particular research includes an equity price model which concentrates on worst case events, a model for equity price uncertainty that incorporates quantified news and also a model for asset price distributions of credit risky bonds where regime switching is incorporated through a Markov chain.