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Actuarial techniques (1) (Stages in ALM exercise (1) Clarify key…
Actuarial techniques (1)
Asset pricing
systematic determination of prices of risky assets, such as equities, bonds and derivatives
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absolute asset pricing
prices in terms of risky macroeconomic factors that influence asset prices, e.g. inflation, interest rates etc.
e.g. consumption-based model, CAPM
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Stages in ALM exercise
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6) Analyse different asset mixes in more detail to assess the risks (relative to liabilities) and rewards of each alternative
7) Summarise and present results, often graphically
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