Welcome to the personal page of Behzad Alimoradian

Conference talks:

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• OICA WACA conference, April 2020. A risk model for asset-liability management of stable value funds guarantees

• 24th Congress on Insurance: Mathematics and Economics , June 2021. An Asset-Liability Model for Stable Value Fund Guarantees with a Crediting Rate Formula

• ASTIN AFIR/ERM Colloquia 2022, An Asset-Liability Model for Stable Value Fund Wraps (Guaranteed Retirement Plans)

• QuantMinds Conference 2022, Market impact, derivatives and Volatility smile

• QuantMinds Conference 2024,  K-Volatility Series Methodology for Strike Based Realized Volatility

• SVIA Fall seminar 2024, Participant Cash Flow Behaviour Panel

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Published Papers

 

• Risk assessment for synthetic GICs: a quantitative framework for asset–liability management. Decisions Econ Finan (2024). https://doi.org/10.1007/s10203-024-00443-3​

• Understanding Key Drivers of Participant Cash Flows for Individually Managed Stable Value Funds. Risks 2023, 11(8), 148; https://doi.org/10.3390/risks11080148​

• Derivatives under market impact: Disentangling cost and information. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4262080

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PhD dissertation:​​

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Risk management of Stable Value-type pension guarantees and study of liquidity problems in derivatives products​​

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Packages and Softwares built:

 

Momentum derivatives strategy: A software for backtesting and selection of vanilla Equity strategies

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Working papers ( coming soon)​

 

​A holistic model for drop and select fixed-income funds

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Conference organization:

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• Moderator of expert panel DAO conference, April 2022

• Member of the organization committee of OICA WACA conference, April 2020.