This advanced level ALM and Liquidity Training workshop serves as a refresher to liquidity management, with an emphasis on traditional models including gap analysis and earnings at risk, stress testing, scenario planning, policy making and simulations.
Solvency II Solvency II is an EU legislation that sets out the capital requirement rules for direct life and non-life insurance and reinsurance companies which are already established or wish to be established within the European Union. Companies that fall within the scope of the
Interest Rate Risk Repricing limits Repricing limits are set for interest rate management. These limits control exposure by controlling the volume or amount of securities that are repriced in a given time period. By staggering the repricing of the securities the company can reduce the
Counterparty Risk Limits PSR Limits Pre-settlement risk (PSR) is the risk that a counterparty to a transaction, such as a forward contract, will not settle or honour his/ her end of the deal. PSR limits are based on the worst case loss that is likely to
Other Limits Duration Limits Duration measures the sensitivity of the price of the product/ value of the portfolio to changes in the interest rate. In order to limit the sensitivity the company needs to decide what the acceptable level of duration for the product/ portfolio
Value at Risk Limits The company would need to decide on the level of VaR based on the risk appetite of the company. Odds VaR Limits 1:99 99% 1:9 90% 1:4 80% 1:3 75% 1:2 66% 2:3 60% They would also need to decide on