Ce cours apparaît dans les formations suivantes :
• IÉSEG > IESEG Degree - Programme Grande École > Semester 2 > 2,00 ECTS

Pré requis

Students who register for this course should be familiar with
1. basic calculus, statistics and probability theory;
2. basics of financial markets theory (including the Basel 1, 2 and 3 Accords and solvency II);
3. certain advanced calculus topics such as derivatives, integrals and limits of functions.

Objectifs du cours

At the end of the course, the student should be able to :
-understand Investment environment for the insurance companies
-understand process of asset risk management
-understand market risk with solvency II;
-understand strategy asset allocation with liability constraintes;
-understand matching adjustment theory;
-understand Infrastructure investments and PPP projects;.

Contenu du cours

For a long time, non-bank investors have been invested in long-term and corporate loans in the U.S. and Japan, while European insurers' presence in this market was virtually non-existent. However, the structure of incentives is changing with Solvency II.

This course provides an overview of the new investment environment for the European insurance industry. The objective of the class is to give keys to students to understand the investment process and the risk management from the operational view of an insurance company.

Program:
- ALM (Asset Liability Management): Strategic Asset Allocation – Constraints specifics to the industry
- Solvency II and Market Risk:VaR - 99,5% - Solvency Capital Requirement - Standard Formula
- Loans under Solvency II: SCR calculation - Matching Adjustment principles
- Long term investment market: Infrastructure Loans – PPP projects

Modalités d'enseignement

Organisation du cours

Méthodes pédagogiques

• Interactive class
• Lecture
• Research

Évaluation

After the first two days, the students will be assigned a few problems that will represent their take-home assignment and good practice for the final exam. The final exam will involve both theory and problem-type questions.

Bibliographie

• Bernd Scherer "Liability Hedging and portfolio choice" (2005) Risk Books -

• René DOFF: "Risk Management for Insurers" (2012), 3rd Edition, Risk Books. -

• Michel Lyonnet du Moutier: "Financement de Project et Partenariats Public Prive" (2012), EMS. -

Ressources internet

• IESEG Online