ACTL5303 Asset-Liability Management - 2019

Subject Code
Study Level
Commencing Term
Term 2
Total Units of Credit (UOC)
Delivery Mode
On Campus
Risk & Actuarial Studies
This course outline is provided in advance of offering to guide student course selection. Please note that while accurate at time of publication, changes may be required prior to the start of the teaching session. To view other versions, visit the archives .

1. Course Details

Summary of Course

This course covers the knowledge, skills and judgement necessary to understand investment and asset liability modelling with an emphasis on practical issues. It covers the design and monitoring of investment strategies for a range of liability profiles including life insurance, general insurance and superannuation funds. There is an emphasis on investment and asset issues of relevance for the management of liabilities. The course has been designed to cover the International Actuarial Association syllabus on Investments and Asset Analysis, and the Investments and Asset-liability Management component of the Institute of Actuaries of Australia part II professional syllabus.

The topics covered include the economic and operating framework of Investments, including EMH and alternative hypotheses, the fundamental principles of investing, with particular emphasis on risk and return characteristics of different asset classes including non-traditional asset classes, the construction and management of multi asset class portfolios including a review of contemporary asset/liability models, the characteristics of futures, options and other derivative security markets and the practical aspects of investment management and asset liability management.

Teaching Times and Locations

Please note that teaching times and locations are subject to change. Students are strongly advised to refer to the Class Timetable website for the most up-to-date teaching times and locations.

View course timetable

Course Policies & Support

Course Aims and Relationship to Other Courses

The course aims are:

  1. To provide students with coverage of the Institute of Actuaries of Australia part II professional syllabus.
  2. To provide an understanding of the main features of investors, investment markets, investment classes and investment theories.
  3. To develop an understanding of asset liability models, their application to asset allocation decisions and the investment management process.
  4. To be able to assess asset liability models along with relevant applications to different types of liabilities.

The course builds on prior courses in the actuarial program, in particular ACTL3182 Asset-Liability and Derivative Models for undergraduate students and ACTL5109 Financial Economics for Insurance and Superannuation for postgraduate students. It is one of three UNSW courses that cover the Actuaries Institute Part II – this covers Part IIB – Investment and Asset Modelling syllabus.

An exemption from the Institute of Actuaries of Australia Part II course is based on obtaining an average of 75% in ACTL4001, ACTL4002 and ACTL4303 or ACTL5100, ACTL5200 and ACTL5303.

2. Staff Contact Details

Position Title Name Email Location Phone Consultation Times
Tuesdays from 5:00pm (by appointment)

3. Learning and Teaching Activities

Approach to Learning and Teaching in the Course

The approach to learning and teaching is to actively engage students in the learning process by providing students with opportunities to develop their understanding of course topics and to reflect on and gain deeper understanding of the more challenging applications of the course material.

The purpose of the lectures is to introduce and explain concepts in the student learning outcomes of the Course. It is expected that students come to lectures having read the relevant chapters in the textbook and lecture notes or PowerPoint slides. Each lecture will provide an overview of the topics and will focus on explaining concepts and issues along with applications and practical issues. The role of the lecture is also to provide students with an opportunity to ask questions and discuss the major aspects of the topic with other students.

Lectures are used both to communicate knowledge to students and to provide opportunities for interactive teaching and learning with students encouraged to ask questions. Lectures will also be used to engage students with the course topics through interaction and discussion. Lectures are designed to ensure students have grasped the key concepts and aims of the course.

Learning Activities and Teaching Strategies

The course reading, lectures and assessment tasks are designed to provide a framework for your learning. Every student has a different approach to learning. How much time you spend on reading in preparation for lectures, completing assessment tasks, reviewing course objectives, deepening your understanding and preparing for final examinations will depend on your learning approach. Lectures will generally cover the main concepts and issues and will not necessarily cover all the details of the course readings or texts.

The learning activities of this course involve three key components – the lecture, the assignment, and your private study. The role of the lecture is to help you understand the context of the topic as well as work through the difficult points. The assignment presents you with a practical application of course concepts. Your private study is the most important component of this course. Weekly readings, solving problems, and your own topic summaries should be considered as a basis of a regular private study regime. Keeping up to date is very important and each week builds on the prior week so it is important that you have your study regime organised early.

Discussion points for each topic will be reviewed in the following week and aim to enhance critical thinking and analysis skills, enhance presentation skills; and engage with others in the class.

The report is used to give you an opportunity to apply the course concepts and to practice working with other students in a team environment.

5. Course Resources

The course lectures, and readings, will be posted on Moodle

Lecture presentations are the primary reference material. In addition the following are required readings.

Required Readings

The course readings include significant extracts from the Society of Actuaries publication 'Economic Scenario Generators - A Practical Guide' 2016.

Week 2

  • Beck,N., J. Hsu, V. Kalesnik, and H. Kostka (2016), Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs, FAJ Vol 72 No 5 pp 58-82
  • Bodie, Kane and Marcus, Investments . Section 27.3
  • Sargen, N (2014) Facing the Reality of Bubble Risk, CFA Institute Magazine, July-August 2014 pp 22-24

Week 5

  • Gootkind, C.L. (2012) Fundamentals of Credit Analysis (from Petii, B.S., J.E.Pinto and W.L.Pirie,), Fixed Income Analysis, CFA Institute

Week 6

  • Heffernan, M.J., (2013) Real Property In Australia, Ch 6 & 7.6
  • Inderst, G (2010) Infrastructure as an Asset Class, EIB Papers Vol 15 No 1
  • Waring, M.B. and L.B.Siegel (2006), The Myth of the Absolute-Return Investor, FAJ Vol 62 No.2, pp14-21

Week 7

  • Society of Actuaries, Economic Scenario Generators (2016), (pp 138-141, Dynamic Nelson-Seigel model)
  • Hardy, M. (2001). A Regime-Switching Model of Long-Term Stock Returns, North American Actuarial Journal Vol 5 No.2
  • Grinold, R.C., K.F.Kroner and L.B.Siegel (2011) A Supply Model of the Equity Premium, The Research Foundation of the CFA Institute
  • Perold, A., & Sharpe, W. (1988). Dynamic Strategies for Asset Allocation, FAJ, Vol 44 No.1 pp 16-27.
  • Society of Actuaries, Economic Scenario Generators (2016), Chapter 6 (pp63-79)

Week 8

  • Maginn, J., D. Tuttle, J. Pinto and D. McLeavey, Managing Investment Portfolios Ch 5 pp 286-295
  • Society of Actuaries, Economic Scenario Generators (2016), Executive Summary (pp7-16),Chapter 1 (pp18-23), Chapter 4 (pp 45-54).

Week 9

  • Society of Actuaries, Economic Scenario Generators (2016), Chapter 5 (pp55-62), Chapter 13 (pp163-169), Chapter 14 (pp170-183)

Week 10

  • Israelov R and L.N.Neilsen (2014), Covered Call Strategies: One Fact and Eight Myths, FAJ Vol 70 No 6 pp 23-31
  • Society of Actuaries, Economic Scenario Generators (2016), Chapters 9-10 (pp-97-112)

Background Reading

Students in need of general investment background will find the following text useful:

  • Investments. Zvi Bodie, Alex Kane, and Alan Marcus, , McGraw Hill, 2014 ISBN13: 9780077861674

Much of this material will have been covered in previous courses.

6. Course Evaluation & Development

Feedback is regularly sought from students and continual improvements are made based on this feedback. At the end of this course, you will be asked to complete the myExperience survey, which provides a key source of student evaluative feedback. Your input into this quality enhancement process is extremely valuable in assisting us to meet the needs of our students and provide an effective and enriching learning experience. The results of all surveys are carefully considered and do lead to action towards enhancing educational quality.

In recent years feedback has emphasised the importance of striking a balance between class participation and lecture flow. Particularly as numbers have grown, the quality of class participation has become more important than the quantity. Students are always keen for constructive feedback on assessments, and to that end the School has allocated additional marking resources in 2019. The course will also respond to students interest in practice exam questions.

7. Course Schedule

Note: for more information on the UNSW academic calendar and key dates including study period, exam, supplementary exam and result release, please visit:
Week Activity Topic Assessment/Other
Week 1: 3 JuneLecture

Introduction and investment background

Lecture Tuesday night only (6:00-9:00)

Week 2: 10 JuneLecture

Portfolio theory and asset pricing

Lecture Tuesday night only (6:00-9:00)

BKM Chapters 5 to 10 (Background)

Week 3: 17 JuneLecture

Economic and Financial Theories

Lecture Tuesday night (6:00-9:00)

Lecture Thursday night (6:00-7:00)

Beck et al

BKM 27.3


Week 4: 24 JuneLecture

Equity valuation and Portfolio Management

Lecture Tuesday night (6:00-9:00)

Lecture Thursday night (6:00-7:00)

Report (a) due midnight 24 June

Week 5: 1 JulyLecture

Interest Bearing Securities

Mid-Session Exam

Lecture Tuesday night (6:00-9:00)

Gootkind (2012)

Thursday night (6:50-8:00)

Week 6 : 8 JulyLecture

Property, private equity, absolute return mandates, infrastructure

Lecture Tuesday night (6:00-9:00)

Lecture Thursday night (6:00-7:00)

Heffernan (2013)

Inderst (2010)

Waring and Siegel (2006)

Report (b) due midnight 8 July

Week 7 : 15 JulyLecture

Capital Market Expectations and reference asset models

Asset Allocation, risk attribution and currency

Lecture Tuesday night (6:00-9:00)

Lecture Thursday night (6:00-7:00)

Grinold et al (2011)

SOA (pp 63-79)

SOA (pp138-141)

Hardy (2001)

Perold and Sharpe (1988)

Week 8 : 22 JulyLecture

Economic Scenario Generators - Overview

Lecture Tuesday night only (6:00-9:00)

Maginn (pp286-295)

SOA (pp7-12, pp18-23, pp45-54)

Report (c) due midnight 22 July

Week 9: 29 JulyLecture

Economic Scenario Generators - Model alternatives

Lecture Tuesday night only (6:00-9:00)

SOA (pp55-62, pp163-169, pp170-183)

Week 10 : 5 AugustRecorded Lecture

Futures and Options

Risk Neutral Scenarios

Lecture Tuesday night (6:00-9:00)

Israelov et al (2014)

SOA (97-112)

Revision Lecture Thursday night (6:00-7:00)

Report (d) due midnight 5 August

8. Policies and Support

Information about UNSW Business School protocols, University policies, student responsibilities and education quality and support.

Program Learning Outcomes

The Business School places knowledge and capabilities at the core of its curriculum via seven Program Learning Outcomes (PLOs). These PLOs are systematically embedded and developed across the duration of all coursework programs in the Business School.

PLOs embody the knowledge, skills and capabilities that are taught, practised and assessed within each Business School program. They articulate what you should know and be able to do upon successful completion of your degree.

Upon graduation, you should have a high level of specialised business knowledge and capacity for responsible business thinking, underpinned by ethical professional practice. You should be able to harness, manage and communicate business information effectively and work collaboratively with others. You should be an experienced problem-solver and critical thinker, with a global perspective, cultural competence and the potential for innovative leadership.

All UNSW programs and courses are designed to assess the attainment of program and/or course level learning outcomes, as required by the UNSW Assessment Design Procedure. It is important that you become familiar with the Business School PLOs, as they constitute the framework which informs and shapes the components and assessments of the courses within your program of study.

PLO 1: Business knowledge

Students will make informed and effective selection and application of knowledge in a discipline or profession, in the contexts of local and global business.

PLO 2: Problem solving

Students will define and address business problems, and propose effective evidence-based solutions, through the application of rigorous analysis and critical thinking.

PLO 3: Business communication

Students will harness, manage and communicate business information effectively using multiple forms of communication across different channels.

PLO 4: Teamwork

Students will interact and collaborate effectively with others to achieve a common business purpose or fulfil a common business project, and reflect critically on the process and the outcomes.

PLO 5: Responsible business practice

Students will develop and be committed to responsible business thinking and approaches, which are underpinned by ethical professional practice and sustainability considerations.

PLO 6: Global and cultural competence

Students will be aware of business systems in the wider world and actively committed to recognise and respect the cultural norms, beliefs and values of others, and will apply this knowledge to interact, communicate and work effectively in diverse environments.

PLO 7: Leadership development

Students will develop the capacity to take initiative, encourage forward thinking and bring about innovation, while effectively influencing others to achieve desired results.

These PLOs relate to undergraduate and postgraduate coursework programs.  Separate PLOs for honours and postgraduate research programs are included under 'Related Documents'.

Business School course outlines provide detailed information for students on how the course learning outcomes, learning activities, and assessment/s contribute to the development of Program Learning Outcomes.



UNSW Graduate Capabilities

The Business School PLOs also incorporate UNSW graduate capabilities, a set of generic abilities and skills that all students are expected to achieve by graduation. These capabilities articulate the University’s institutional values, as well as future employer expectations.

UNSW Graduate CapabilitiesBusiness School PLOs
Scholars capable of independent and collaborative enquiry, rigorous in their analysis, critique and reflection, and able to innovate by applying their knowledge and skills to the solution of novel as well as routine problems.
  • PLO 1: Business knowledge
  • PLO 2: Problem solving
  • PLO 3: Business communication
  • PLO 4: Teamwork
  • PLO 7: Leadership development

Entrepreneurial leaders capable of initiating and embracing innovation and change, as well as engaging and enabling others to contribute to change
  • PLO 1: Business knowledge
  • PLO 2: Problem solving
  • PLO 3: Business communication
  • PLO 4: Teamwork
  • PLO 6: Global and cultural competence
  • PLO 7: Leadership development

Professionals capable of ethical, self-directed practice and independent lifelong learning
  • PLO 1: Business knowledge
  • PLO 2: Problem solving
  • PLO 3: Business communication
  • PLO 5: Responsible business practice

Global citizens who are culturally adept and capable of respecting diversity and acting in a socially just and responsible way.
  • PLO 1: Business knowledge
  • PLO 2: Problem solving
  • PLO 3: Business communication
  • PLO 4: Teamwork
  • PLO 5: Responsible business practice
  • PLO 6: Global and cultural competence

While our programs are designed to provide coverage of all PLOs and graduate capabilities, they also provide you with a great deal of choice and flexibility.  The Business School strongly advises you to choose a range of courses that assist your development against the seven PLOs and four graduate capabilities, and to keep a record of your achievements as part of your portfolio. You can use a portfolio as evidence in employment applications as well as a reference for work or further study. For support with selecting your courses contact the UNSW Business School Student Centre.

Academic Integrity and Plagiarism

Academic Integrity is honest and responsible scholarship. This form of ethical scholarship is highly valued at UNSW. Terms like Academic Integrity, misconduct, referencing, conventions, plagiarism, academic practices, citations and evidence based learning are all considered basic concepts that successful university students understand. Learning how to communicate original ideas, refer sources, work independently, and report results accurately and honestly are skills that you will be able to carry beyond your studies.

The definition of academic misconduct is broad. It covers practices such as cheating, copying and using another person’s work without appropriate acknowledgement. Incidents of academic misconduct may have serious consequences for students.


UNSW regards plagiarism as a form of academic misconduct. UNSW has very strict rules regarding plagiarism. Plagiarism at UNSW is using the words or ideas of others and passing them off as your own. All Schools in the Business School have a Student Ethics Officer who will investigate incidents of plagiarism and may result in a student’s name being placed on the Plagiarism and Student Misconduct Registers.

Below are examples of plagiarism including self-plagiarism:

Copying: Using the same or very similar words to the original text or idea without acknowledging the source or using quotation marks. This includes copying materials, ideas or concepts from a book, article, report or other written document, presentation, composition, artwork, design, drawing, circuitry, computer program or software, website, internet, other electronic resource, or another person's assignment, without appropriate acknowledgement of authorship.

Inappropriate Paraphrasing: Changing a few words and phrases while mostly retaining the original structure and/or progression of ideas of the original, and information without acknowledgement. This also applies in presentations where someone paraphrases another’s ideas or words without credit and to piecing together quotes and paraphrases into a new whole, without appropriate referencing.

Collusion: Presenting work as independent work when it has been produced in whole or part in collusion with other people. Collusion includes:

  • Students providing their work to another student before the due date, or for the purpose of them plagiarising at any time
  • Paying another person to perform an academic task and passing it off as your own
  • Stealing or acquiring another person’s academic work and copying it
  • Offering to complete another person’s work or seeking payment for completing academic work

Collusion should not be confused with academic collaboration (i.e., shared contribution towards a group task).

Inappropriate Citation: Citing sources which have not been read, without acknowledging the 'secondary' source from which knowledge of them has been obtained.

Self-Plagiarism: ‘Self-plagiarism’ occurs where an author republishes their own previously written work and presents it as new findings without referencing the earlier work, either in its entirety or partially. Self-plagiarism is also referred to as 'recycling', 'duplication', or 'multiple submissions of research findings' without disclosure. In the student context, self-plagiarism includes re-using parts of, or all of, a body of work that has already been submitted for assessment without proper citation.

To see if you understand plagiarism, do this short quiz:


The University also regards cheating as a form of academic misconduct. Cheating is knowingly submitting the work of others as their own and includes contract cheating (work produced by an external agent or third party that is submitted under the pretences of being a student’s original piece of work). Cheating is not acceptable at UNSW.

If you need to revise or clarify any terms associated with academic integrity you should explore the 'Working with Academic Integrity' self-paced lessons available at:

For UNSW policies, penalties, and information to help you avoid plagiarism see: as well as the guidelines in the online ELISE tutorials for all new UNSW students: For information on student conduct see:

For information on how to acknowledge your sources and reference correctly, see: If you are unsure what referencing style to use in this course, you should ask the lecturer in charge.

Student Responsibilities and Conduct

Students are expected to be familiar with and adhere to university policies in relation to class attendance and general conduct and behaviour, including maintaining a safe, respectful environment; and to understand their obligations in relation to workload, assessment and keeping informed.

Information and policies on these topics can be found on the 'Managing your Program' website.


It is expected that you will spend at least ten to twelve hours per week studying for a course except for Summer Term courses which have a minimum weekly workload of twenty to twenty four hours. This time should be made up of reading, research, working on exercises and problems, online activities and attending classes. In periods where you need to complete assignments or prepare for examinations, the workload may be greater. Over-commitment has been a cause of failure for many students. You should take the required workload into account when planning how to balance study with employment and other activities.

We strongly encourage you to connect with your Moodle course websites in the first week of semester. Local and international research indicates that students who engage early and often with their course website are more likely to pass their course.

View more information on expected workload


Your regular and punctual attendance at lectures and seminars or in online learning activities is expected in this course. The Business School reserves the right to refuse final assessment to those students who attend less than 80% of scheduled classes where attendance and participation is required as part of the learning process (e.g., tutorials, flipped classroom sessions, seminars, labs, etc.).

View more information on attendance

General Conduct and Behaviour

You are expected to conduct yourself with consideration and respect for the needs of your fellow students and teaching staff. Conduct which unduly disrupts or interferes with a class, such as ringing or talking on mobile phones, is not acceptable and students may be asked to leave the class.

View more information on student conduct

Health and Safety

UNSW Policy requires each person to work safely and responsibly, in order to avoid personal injury and to protect the safety of others.

View more information on Health and Safety

Keeping Informed

You should take note of all announcements made in lectures, tutorials or on the course web site. From time to time, the University will send important announcements to your university e-mail address without providing you with a paper copy. You will be deemed to have received this information. It is also your responsibility to keep the University informed of all changes to your contact details.

Student Support and Resources

The University and the Business School provide a wide range of support services and resources for students, including:

Business School EQS Consultation Program
The Consultation Program offers academic writing, literacy and numeracy consultations, study skills, exam preparation for Business students. Services include workshops, online resources, individual and group consultations.
Level 1, Room 1035, Quadrangle Building.
02 9385 4508

Communication Resources
The Business School Communication and Academic Support programs provide online modules, communication workshops and additional online resources to assist you in developing your academic writing.

Business School Student Centre
The Business School Student Centre provides advice and direction on all aspects of admission, enrolment and graduation.
Level 1, Room 1028 in the Quadrangle Building
02 9385 3189

UNSW Learning Centre
The UNSW Learning Centre provides academic skills support services, including workshops and resources, for all UNSW students. See their website for details.
Lower Ground Floor, North Wing Chancellery Building.
02 9385 2060

Educational Support Service
Educational Support Advisors work with all students to promote the development of skills needed to succeed at university, whilst also providing personal support throughout the process. Check their website to request an appointment or to register in the Academic Success Program.
John Goodsell Building, Ground Floor.
02 9385 4734

Library services and facilities for students
The UNSW Library offers a range of collections, services and facilities both on-campus and online.
Main Library, F21.
02 9385 2650

Moodle eLearning Support
Moodle is the University’s learning management system. You should ensure that you log into Moodle regularly.
02 9385 3331

UNSW IT provides support and services for students such as password access, email services, wireless services and technical support.
UNSW Library Annexe (Ground floor).
02 9385 1333

Disability Support Services
UNSW Disability Support Services provides assistance to students who are trying to manage the demands of university as well as a health condition, learning disability or who have personal circumstances that are having an impact on their studies. Disability Advisers can arrange to put in place services and educational adjustments to make things more manageable so that students are able to complete their course requirements. To receive educational adjustments for disability support, students must first register with Disability Services.
Ground Floor, John Goodsell Building.
02 9385 4734

UNSW Counselling and Psychological Services
Provides support and services if you need help with your personal life, getting your academic life back on track or just want to know how to stay safe, including free, confidential counselling.
Level 2, East Wing, Quadrangle Building.
02 9385 5418