Our Experience
Grant Paulsen
Founder & President of Rimcon Inc.
RIMCON INC. has provided consulting services to over 20 financial institutions including life insurers, trust companies, banks, credit card issuers, as well as several non-financial companies. The balance sheets ranged in size from under $100 million to over $10 billion.
The assignments included:
- ALM analysis and recommended portfolio rebalances to reduce risk and improve earnings.
- Installation of ALM software and configuration of data feeds.
- Training of staff to run software and produce risk reports on a weekly or monthly basis.
- Training of staff in ALM and capital markets topics (ALM principles, options, futures, swaps, ABS, hedging techniques, life insurance risk, binomial models, dynamic hedging, valuation of embedded options).
- Identification and evaluation of non-traditional investment strategies to back life insurance liabilities - synthetic equities, inter-segment notes, hedge funds.
- Design and implementation of optimization models to identify the preferred asset mix and the maximum Annuity rates that can be offered.
- Drafting of policies and procedures for asset/liability management, derivatives, liquidity management.
- Design and implementation of synthetic equity (cash + index futures) portfolios to mimic the return of major foreign equity markets. Performance tracking and attribution analysis.
- Assistance in the design of life insurance products - pricing of product features, optimal investment strategy, techniques to manage risk-based capital requirements.
- Design of relative value models for use in evaluating preferred shares, ABS, and mortgages.
- Design of liquidity risk reports (in insurance and trust companies).
- Design and implementation of a model to predict cash flows and correctly amortize premium/discount on a $400 million pool of CMHC mortgage-backed securities.
- Evaluation of performance and identification of operating risk for equity-linked pass-through products.
- Analysis of policyholder behavior risk for a range of life insurance products.
- Analysis of embedded risk and hedging cost for the minimum death and maturity guarantees on segregated funds (insurance industry version of mutual funds).
- Due diligence on the acquisition of a $50 million block of life insurance business.
- Design of risk reports and scenario analysis for credit card operation.
- Design and implementation of a portfolio credit simulation process to allow optimal diversification and the estimation of economic capital.