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ALM Workshop Mumbai
Dec. '09

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Workshop Day 1 08/12/2009   |  Workshop Day2 09/12/2009   | ALM Panel Discussion

Practical Asset and Liability Management -Workshop

Date: 8th December, 2009
Duration: One Full Day
Venue: Taj President,Mumbai, India

Presenters:
Prof. Gautam Mitra, CARISMA, Brunel University, London
Dr. Katharina Schwaiger, CARISMA, Brunel University, London

Guest Presenters:
Con Keating, Brighton Rock Insurance Group , London
Dr. Roy Kouwenberg, Mahidol University, Thailand
Dr. Hira Sadhak, CEO, LIC Pension Funds Ltd, India
Dr. R.B. Barman, former Executive Director of RBI, India

 

Overview: Asset and Lliability Management (ALM) is the art and the science of managing risks those arise due to mismatches in assets and liabilities of pension funds, insurance, banking and households. Such risks include interest rate risk, credit risk, inflation risk, longevity risk, market risk and liquidity risk. This one-day  intensive workshop will cover the commonly known and some of the uncommon (fat-tail or beyond three sigma) problems faced in ALM. Further, the workshop would cover the ways to analyse such problems through discussing real-world case studies. Such case discussions would be augmented with the overview of the latest and best strategies / techniques to manage some of these risks. Some of these strategies / techniques are the outcome of many years of academic and industry research by the experts in the field. In addition, the workshop would cover the innovations in products (alternative investments, longevity bonds, swaps, swaptions) and technologies (stochastic optimization software) to manage these risks in ALM.

Key Topics Covered:

Target Audience: Strategic decision makers (CEO, CFO, CTO, CRO, etc), ALCO members and fund managers from pension, insurance, banking industries and fund managers of HNI. In addition, academics and research students are welcome to attend and contribute to the discussions.

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

9:00-9:20 Coffee

9:20 - 9:45

Introduction

Dr. R. B. Barman

9:45 - 10:00

Ice Breaker Session
Introduction and Overview

Prof. Gautam Mitra

10:00 - 10:45

Stochastic Programming Decision Models for ALM

Dr.Katharina Schwaiger &  Prof. Gautam Mitra

10:45 -11:00

Morning Coffee/Tea Break

11:00 -12:00

Scenario Generation for Asset Liability Management

Roy Kouwenberg

12:00 -12:10

Comfort Break

12:10 -13:00

DB Pension Schemes: an Insurance Approach to bridge the funding gap

Con Keating

13:00 -14:00

LUNCH

 

14:00 -14.50

Simulation and Performance Evaluation Models for ALM

Dr. Katharina Schwaiger & Prof. Gautam Mitra

14.50- 15:00

Comfort Break

15:00- 16:00

Dynamics of Risk Management in NPS

Dr. Hira Sadhak

16:00- 16.15

Tea Break

 

16:15- 17:00

Life cycle financial planning for HNI

Prof. Gautam Mitra

17:00 -17:30

Summary; Discussion and Feedback; close of workshop

 

 

Speaker Profile

Con Keating is Head of Research at BrightonRock Group, UK. Con, a chemist and economist by training, is perhaps best known for his quantitative working investment performance measurement and forecasting with techniques such as the Omega function and metrics. He has also been involved with pensions as a fund manager and trustee since the early 1970's, when he managed the NATO provident fund. His professional career included periods as an analyst with INA on P&C and large risk insurance and subsequently CIGNA in life, pensions and health-care. He chaired the European Federation of Financial Analysts' Societies committee on methods and measures from 1994 until 2001. He is a member of the steering committees of the Finance Research Institute and Financial Econometrics Research Centre at the University of Warwick, a member of the Societe Universitaire Europeene de Recherche en Finance and of the American Finance Association. He was also an advisor to the OECD's working party on private pensions and to the World Bank.


Dr. Roy Kouwenberg, CFA , received his doctorate in Finance from Erasmus University Rotterdam in the Netherlands in 2000. After completing his dissertation, he visited the University of British Columbia in Vancouver, Canada, for one year as a postdoctoral fellow. At UBC he taught in the MBA and PhD programs and worked on research projects together with Prof. William Ziemba. In 2001, he joined AEGON Asset Management in The Hague, the Netherlands, as a quantitative researcher in the equity department. After working in asset management for two years, he continued his academic career in 2003 at the Asian Institute of Technology in Thailand. In 2004, Dr. Kouwenberg earned the Chartered Financial Analyst (R) designation. Since July-2006, Dr. Kouwenberg is affiliated with Mahidol University, College of Management, as Chair of the Ph.D. Program. Every year Dr. Kouwenberg visits Erasmus University Rotterdam, the Netherlands, to work on research projects with colleagues. His research has been published in the Review of Economics & Statistics, the Journal of Banking & Finance, Operations Research and the Handbook of Asset and Liability Management, amongst others. Dr. Roy also provides practical advice on ALM and scenario generation to AEGON, one of the largest life insurance companies in the world.

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. H. Sadhak, CEO of LIC Pension Fund Ltd, is a well known economist and financial sector expert, who occupied many important positions in Indian financial services industry including Pension Fund, Mutual Fund, Life Insurance and Banking sectors. Before becoming CEO of LIC Pension Fund Ltd, Dr. Sadhak was an Executive Director with Life insurance Corporation of India. His previous positions include Jt. General Manager (Investment) LIC Mutual Fund, an Officer with Union Bank of India and a Lecturer in Economics. Dr. Sadhak has authored more than 100 articles and research papers and five books, namely Life Insurance in India: Opportunities, Challenges & Strategic Perspective ( Response/SAGE 2009),Mutual Funds in India: Marketing Strategies and Investment Practices ( Response/ SAGE (4th Reprint 2008, 2nd Edition 2004 & 1st Edition 1997 ), Role of Entrepreneurs in Backward Areas(Daya Publications 1989), Impact of Incentives on Industrial Development in Backward Regions(Chugh, 1987) and a forthcoming book - Pension Reform & NPS in India. Dr. Sadhak has been associated with many Working Groups / Technical Committees of Government of India and other agencies, including Technical Committee on Accounting Policy for NPS , PFRDA , Working Groups on Household Savings, 11th Five Year Plan & 10th Five Year Plan of India, Technical Advisory Group on Real Estate Price Index, Fifth Economic Census of India , RBI Working Group on Household Financial Savings, National Statistics Commission Working Group on Insurance Sector Statistics, Association of Mutual Funds in India Working Group on Research and Statistics, etc. A recipient of 12 awards for his contribution in Research and Policy Papers and a well known speaker, Dr. Sadhak holds a Ph D in Industrial Finance (University of Poona), MA in Economics (University of Kalyani), BA (Hons) in Economics (University of Calcutta), Diploma in Operation for Management (University of Mumbai ).

Dr. R. B. Barman, former Executive Director of the Reserve Bank of India, is a familiar name in the Indian banking industry for his contributions in the areas of Statistics, Econometrics, Banking Information Technology and Payment Systems. Dr. Barman was President, The Indian Economertic Society, Vice Chairman, Irving Fisher Committee on Statistics, Vice President, Indian Association for Research in National Income and Wealth and Patron, Indian Society for Statistics, Computer and Applications. Dr. Barman was part of many committees and working groups set up by the RBI and the Government during the course of his long career with the Reserve Bank.
At present, Dr. Barman is associated with the Indira Gandhi Institute for Development Research, C R Rao Advanced Institute for Mathematics, Statistics and Computer Science and Indian Institute of Capital Market as Visitor, Adjunct Professor and Adviser (Research) respectively. Dr. Barman is Adviser for the National Payment Corporation of India, Central Bank of India and independent Director in the Housing and Urban Development Corporation.
His current professional interest includes Micro-Macro Linkage as Framework for Economic Analysis, Business Intelligence on Banking and Finance, Payment Systems and Micro Finance.