ALM / Risk Management Seminar

Overview

This seminar focused on the “current problems and future agendas” concerning ALM operations at banking and insurance companies. About 270 people attended.

Lecture titles

"The Current State of and Agenda for ALM at Banks"
by Hiroaki Demizu, Corporate Risk Management Department at the Bank of Tokyo-Mitsubishi

"Theory and Actual State of ALM at Life Insurance Companies"
by Naoki Matsuyama, Corporate Planning & Research Department at Meiji Yasuda Life Insurance Company

"ALM, DFA and ERM": Problems in Modeling and New Directions
Soichiro Moridaira, Department of Policy Management, Keio University,

"The Present and Future of VaR, EaR systems" (Second Half)
Hideyuki Torii, President, Numerical Technologies

• Market VaR Methods intended to meet regulation requirements converge in the historical method.
• People are focusing on model risk
• Debate surrounding the maturing credit VaR and operational risk
• RAPM, catching on in the U.S.
• Three approaches to capital allocation
• What to do to make RAPI a meaningful figure
• How to realize the volatility approach to revised income
• The process of making a market scenario
• Case study 1: US interest rates in 1994
• Case study 2: Yen interest rates at the end of 2005
• The process of making a credit scenario
• From theory to implementation - how to make it a system
• The system breaks down the risks
• Optimizing assets and liabilities
• Management strategies under the asset-inflated bubble economy - the RAPM model's stress test
• How to deal with regulations
• Financial institution strategies and RAPM

Handouts distributed on the day of the seminar

• The Present and Future of VaR, EaR Systems (second Half)
• The Present and Future of VaR, EaR systems (First Half)
• Numerical Technologies Altitude® product catalog

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To obtain copies of documents

To obtain copies of documents: Please email the company if you would like to have copies of the documents distributed on the day of the seminar.

Notice

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