Gross discrepancies in pension ALM
A survey of the asset liability management (ALM) of European pension funds has revealed gross discrepancies in the risk management of portfolios according to Edhec Risk Institute.
The research found that a mere 33% of participants considered accounting risk, while over half ignored sponsor risk altogether.
Other significant findings include 45% of pension funds model their liability hedging portfolio imprecisely and that most respondents employ inefficient market indices as benchmarks for
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