Strategic Asset Liability Management (SAM)

- Risk Controlling

- Pricing/Trading

- Asset-Liability-Management

- Market Data

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    Key benefits:

  • Helps to steer asset and risk capital allocation to achieve long term return for shareholders
  • Calculates firm value in a multi periodic simulation of an economic balance sheet
  • Uses virtual capital management to capture the negative effects of future financial distress to the current shareholder value
  • Balances interests of share-, policy- and bondholders
  • Samples a wide range of asset allocations
  • Models influence of growth rates, management steps, etc. on shareholder capital
  • Easy integration into client specific infrastructure

                                                                                         

Business Topics

While classical ALM considers next years projected assets and liabilities, this strategic asset allocation tool is based on a multi periodic optimization of the firm value under objective functions adapted to the group-specific steering mechanisms.

While the interests of policy- and bondholder are well defined and senior shareholders have an interest to optimize the overall return taking into account the constraints from the bond and policy liabilities. In SAM the interests of the bond- and policyholders are guaranteed by a promise to raise new capital if the risk capital limits would no longer be covered by the assets. By taking into account the dilution of capital coming from such an event one gets a parameter free methodology to calculate the expected long term return of shareholder capital for any asset and capital allocation. By sampling many asset and capital allocations the overall optimum can be found.

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SAM-7kl3 Product presentation