Asset and liability management (ALM)

Replicating success

The financial crisis drummed home to many banks the advantages of quickly calculating exposures and executing hedges for complex portfolios. As a result, some banks are looking to the insurance sector and their use of replicating portfolios. By Clive…

The PPF principle

The result of the recent economic dislocation is an increase in corporate insolvencies - many of which will result in deficit-ridden pension schemes falling into the lap of the UK's Pension Protection Fund. It is timely that the organisation has reviewed…

Incorporating policyholder expectations into ALM

European life insurers have recently improved their asset/liability management (ALM) skills.However, those efforts have been limited to the matching of guaranteed policyholder benefits.While bringing considerable insight, they also leave management with…

Hedging of corporate pension liabilities

Bernd Scherer here proposes a normative theory of asset/liability management that views externally funded pension funds exclusively from a corporate finance point. Standard asset management solutions are derived after the corporate finance problem has…

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