Asset and Liability Management

Faculteit Economie en Bedrijfskunde
Jaar 2020/21
Vakcode EBM111A05
Vaknaam Asset and Liability Management
Niveau(s) master, uitwisseling
Voertaal Engels
Periode semester II a
ECTS 5
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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. to analyze scenario generators with regard to their statistical and theoretical properties
3. to evaluate ALM optimizations
Omschrijving The total invested assets of pension funds and insurance companies worldwide adds up to almost $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
Titel Auteur ISBN Prijs
A scenario approach to ALM, 2007, chapter 18 in Mulvey and Ziemba (eds.): Handbook on worldwide asset management, part II Boender, G., et al.
Well-received influential papers, plus lecture notes. Indicative (of level and contents) literature
Various
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.
Opgenomen in
Opleiding Jaar Periode Type
Courses Exchange (MSc): semester 1.1 and 1.2 not open (due to corona measures)  ( Courses Exchange Students (MSc) without limited access (sem 1.1 & 1.2 not open)) 1 semester II a keuze
DD MSc Economics - Universidad de Chile, Santiago (1,5-jarig)  (keuzevakken voor studenten uit Chili) 2 semester II a keuze
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  (keuzevakken MSc EORAS) 1 semester II a keuze
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  ( Actuarial Studies) 1 semester II a keuzegroep
MSc Economics  (keuzevakken B MSc Economics) 1 semester II a keuze