Asset liability management
Cash-rich insurers eye loan books of de-leveraging European banks
Original headline:
High-quality portfolios could provide attractive long-duration assets, say bankers
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Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian...
Original headline:
Life insurers and pension funds have been using commodities as a portfolio diversifier for years. Blake Evans-Pritchard reports on how the asset class is evolving
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Solvency II asset charges will not stop insurers funding banks
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Solvency II is expected to lead to changes in insurers’ investment strategies. Janko Gorter and Melle Bijlsma argue that the effects on the financial markets and the real economy may not be as significant as some have suggested
Market-consistent equity risk premiums
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The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. By adapting the model to be consistent with market-implied distributions,...
Insurers look to hedging strategies to deal with management charge volatility...
Original headline:
Volatility caused by annual management charges under Solvency II is a relatively new issue for insurers. What are the hedging techniques being undertaken to manage this?
Inflation estimate errors costing defined benefit sponsors £50 billion...
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Overestimated inflation projections could be costing UK defined benefit scheme sponsors more than £50 billion in unnecessary funding commitments, a corporate adviser warns
Insurers await Solvency II clarity for asset allocation
Original headline:
The impact of Solvency II on asset allocation decisions is hard to predict, particularly since the rules are not yet finalised, but two recent papers suggest that if a company wants to limit its capital requirements then asset allocation should be a key...
Chinese sovereign wealth funds should dump US stocks, report says
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Chinese sovereign funds such as Safe Investment Company and CIC should consider dumping and even shorting US retail stocks during US economic downturns, if they want to adopt an integrated asset and liability management process when making investment...
FSA urged to take direct action against liquidity swap ‘malpractice’...
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The British Bankers' Association (BBA) has called on the FSA to pursue individual cases of liquidity swap ‘malpractice’, rather than imposing new industry-wide regulations on the transactions
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