ALM & Hedging
We provide assistance with all aspects of ALM and hedging. This includes managing the exposures of embedded guarantees, dynamically hedged products, annuities, Negative Reserves, and LDI strategies.
Valuation of Embedded Guarantees
Valuation using advanced quantitative (risk-neutral) models suited to insurance liabilities. This includes finding pragmatic solutions to model calibration given the long term nature of some liabilities.
Negative Rand Reserves
Manage the rate exposures of Negative Reserves effectively, thereby reducing capital and/or P&L volatility. This includes considering options to manage the liquidity and funding requirements.
Annuities & Structured Guaranteed Products
Assistance with all aspects of ALM related to insurance products. This includes product development, mandates, optimising for capital efficiency, and risk management.
LDI Integration
Optimise your risk-adjusted returns by balancing flexibility for taking risk against a tightly matched approach. We also provide assistance with mandate construction.
ALM Committee (ALCO)
Assistance with the set up and management of an ALCO. We can provide support as a committee member.
Hedge Implementation
Practical solutions to execute hedges, considering market constraints. We also assist with the operational setup, including best-practice controls, and customised reporting.
Compute Infrastructure
Assistance with setup of compute infrastructure to manage the hedging programme. Includes high-performance computing, and integration with data sources.
Line-2 Support
Assist with risk frameworks to manage ALM and associated market risks. Includes building customised reports, risk assessment and consequent risks such as liquidity.
Integration with Actuarial Calculations
Ensure that the financial mathematics used to trade and the Actuarial calculation models are consistent, which reduces model risk. Find solutions to allow ALM management to practically integrate with existing actuarial systems.
Managing Trading operations
Managing practical issues in implementation, including performance monitoring, benchmarks and suitable reporting templates.
Trade P&L Optimisation
Optimise P&L from hedge programmes, by ensuring appropriate models and mandate parameters given the situation.
Analysis of problematic areas
Assistance with uncovering sources of unexpected P&L, preventing losses and excessive volatility. Includes finding solutions to manage these areas.
Credit enhancement strategies
Incorporate investment risk (such as credit) enhancement strategies in hedges to include upside potential. Done in the specific context of an insurer, to optimise risk-adjusted reward.
Model Validation
Validation models use for hedging or accounting (IFRS2).
Practice Areas
Specialised actuarial consulting. Experienced in capital and value management, ALM, hedging and guarantees, financial modelling, investment strategy and creating commercially attractive solutions.
Workworth is a Level 4 BBBEE Contributor.