Asset Liability Management Seminar (ALM) Toronto Presentation

Below you will find presentations from various sessions at the ALM Seminar in Toronto held on June 12–13, 2008. Please note that some have multiple handouts from different authors/presenters.

• Thursday, June 12, 2008  
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• 13:45 General
• The Credit Crunch of 2007
• Moderator: Robert Reitano, Brandeis University
• Presenter: John C. Hull, University of Toronto
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• 15:00 Pension
• An Update on LDI
• Moderator: Jonathan Hede, Nexus Risk Management
• Presenter: Aaron Meder, UBS
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• Insurance
• Integrating Economic Capital and ALM
• Moderator: Charles Gilbert, Nexus Risk Management
• Presenters: Gary Hatfield, Securian Financial Group; Hubert Mueller, Towers–Perrin
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• 16:30 Pension
• Risk Management for Pensions
• Moderator: Charles Gilbert, Nexus Risk Management
• Presenter: Susan Mangiero, Pension Governance, LLC
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• Insurance
• ALM Attribution Analysis
• Moderator: Robert Reitano, Brandeis University
• Presenters: Jonathan Hede, Nexus Risk Management; Gary Hatfield, Securian Life
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• Friday, June 13, 2008
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• 8:30 General
• Derivative Disasters
• Moderator: John Hull, University of Toronto
• Presenter: K. Ravindran, Annuity Systems Inc.
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• 9:30 General
• Portfolio Optimization
• Presenter: Charles Gilbert, Nexus Risk Management
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• Case Study: Stochastic Immunization
• Moderator: Charles Gilbert, Nexus Risk Management
• Presenter: Robert Reitano, Brandeis University
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• 11:00 General
• Risk Budgeting
• Moderator: Charles Gilbert, Nexus Risk Management
• Presenter: Jorge Mina, RiskMetrics
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• 13:00 Pension
• Strategies Managing Inflation and Longevity Risk
• Moderator: Jonathan Hede, Nexus Risk Management
• Presenters: Antony R. Mott, ICAP Capital Markets; Valdimar Armann, RBS
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• Insurance
• Assessing the Quality of Risk Management
• Moderator: Charles Gilbert, Nexus Risk Management
• Presenters: Paul Bradley, Standard & Poor's; Stephen Manly, OSFI