Project
ALM Project 2025 Final Version.pdf

Anexos

• 1.Yield curve examples.r
• interestRateData2025.xlsx
• 0.ALM - Introduction2.pdf
• 0.ALM - Introduction2.pdf
• 2.Example spot rates, forward rates and bond valuation.r
• r4ds1.r
• r4ds3.r
• 3.Estimating the market yield curve by replication.r
• 1.ALM - Basic Interest Rate Theory 2025.pdf
• r4ds25.r
• 4.Estimating Present Value Sentitivity to Yield Changes.r
• 2.ALM - Interest Rate Risk Management.pdf
• 5.Matching portfolio of bonds and immunization.r
• r4ds05.r
• 6.Fitting a model to the yield curve - CIR and Vasicek models.r
• 7.Half year-ahead simulations using Vasicek and CIR models.r
• 4.ALM - Risk Measures.pdf
• 3.ALM - Stochastic Interest Rate Models.pdf
• 8.VaR Diversification example.r
• real_claims_worker_comp.xlsx
• 9.0.Example Reinsurance Quota Share Loss Corridor.r
• 9.1.Lognormal fit to a set of claims.r
• 9.2.Example Reinsurance Simulation with lognormal.r
• 5.ALM - Reinsurance.pdf
• 10.Adverse Development Example.r
• ALM Project 2025.pdf
• Formulas_ALM.html
• 6.ALM - Mean-Variance Analysis.pdf
• 11.0.Exchange rates - assumptions and covariance estimation.r
• 11.1.Exchange rates - Optimum asset allocation with and without hedge.r
• exchangeRatesData.xlsx
• ALM Project 2025 Final Version.pdf