Nov 30, 2009 Software Tools and Models for Asset and Liability Management: Hands-on Workshop (NIDA Business School) |
|
| The one day hands-on workshop will give participants the opportunity to implement their own ALM study. Mathematical programs such as deterministic linear programming, stochastic programming, chance constrained programming and integrated chance constrained programming are covered to represent an ALM problem. Representing uncertainty, both on the asset and liability side, will be taught by both standard and state-of the art scenario generation methods. Participants will be using AMPL Studio to model and solve their ALM problem, as well as using SPInE which will be used to represent and solve the ALM model under uncertainty. |
 |
| Key Features include: • Introduction to Mathematical Programming • Introduction to Scenario Generation: • Desirable Properties • Asset Price Dynamics • Liability Modelling • Factor Models • Hands-on Session: • Introduction to AMPL • Data Input/Output to AMPL • Introduction to SAMPL/SPInE |
Presenters: Professor Gautam Mitra CARISMA, Brunel University Leela Mitra CARISMA, Brunel University Katharina Schwaiger, CARISMA, Brunel University |
| Who should attend: Quantitative and technical analysts, risk analysts, fund managers and academics. |
|
November 30 through December 2, 2009 at
The Pullman Hotel, Bangkok, THAILAND