Christina Koerner

Asset Liability Management

• Development of “New Savings Products” for life insurance companies; Multi- and single-premium products mostly based on the CPPI algorithm and a risk control strategy to optimize hedging costs • Familiarization with current ALM topics (discount rate for liabilities) relevant for pension funds

• Familiarization with the assessment of key risk figures of a portfolio • Generation of risk reports for portfolio managers • Further development of an MATLAB application that generates risk reports

• Familiarization with models to assess credit and business risk • Testing of an application that calculates the CVaR changes of a portfolio if details of the portfolio were changed, e.g. PD-rating, amount of credit

• Support in the review of the quarterly and annual statements of a global reinsurance company • Preparation of audit instructions for subsidiaries in other countries and business analysis • Performing an SAS 70 testing (Statement of Auditing Standard No. 70) for the asset manager of the reinsurance company

• Familiarization with Hedge Accounting of credit risk • Valuation of credit default swaps, bonds, floating rate notes and term loans • Independent review of the prospective effectiveness test • Analysis of P&L effects caused by Hedge Accounting of credit risk