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Asset and Liability Management
| Faculteit | Economie en Bedrijfskunde |
| Jaar | 2022/23 |
| Vakcode | EBM111A05 |
| Vaknaam | Asset and Liability Management |
| Niveau(s) | master, uitwisseling |
| Voertaal | Engels |
| Periode | semester II a |
| ECTS | 5 |
| Rooster | rooster |
| Uitgebreide vaknaam | Asset and Liability Management | ||||||||||||||||||||||||
| Leerdoelen | Upon completion of the course the student is able to: 1. formulate, comprehend and analyze overall financial goals of financial institutions; 2. analyze scenario generators with regard to their statistical and theoretical properties; 3. evaluate ALM optimizations. |
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| Omschrijving | The total invested assets of pension funds and insurance companies worldwide adds up to over $65 trillion. In this course we discuss how these long term institutional investors set their strategic asset allocation (SAA) using Asset Liability Management (ALM) models. We discuss ALM both from an academic and from a practical perspective. | ||||||||||||||||||||||||
| Uren per week | 3 | ||||||||||||||||||||||||
| Onderwijsvorm | -gastcollege , -hoorcollege | ||||||||||||||||||||||||
| Toetsvorm | -groepsopdracht, -groepspresentatie, -schriftelijk tentamen (open vragen) | ||||||||||||||||||||||||
| Vaksoort | master | ||||||||||||||||||||||||
| Coördinator | dr. E.L. Kramer | ||||||||||||||||||||||||
| Docent(en) | dr. E.L. Kramer | ||||||||||||||||||||||||
| Verplichte literatuur |
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| Entreevoorwaarden | Affinity with math, statistics and finance | ||||||||||||||||||||||||
| Opmerkingen | Info: Dr Bert Kramer, e-mail: e.l.kramer@rug.nl. Secretary: Martine Geerlings-Koolman, phone: +31(0)50 36 37018, e-mail: m.a.koolman@rug.nl. |
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