Technical papers/Asset Liability Management
Perturbed Gaussian copula: introducing the skew effect in co-dependence...
Published online only
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...
Published online only
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...
Published online only
With replicating portfolios, smaller is generally better. Existing optimisation methods for constructing replicating portfolios, however, often include all candidate instruments. The addition of trading...
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More Technical papers/Asset Liability Management articles
Vanilla option replication for ALM shortfall risk
Original headline:
ALM hedging strategies for life insurers and pension funds often require illiquid instruments to replicate liability behaviour, making such strategies impractical. This article aims to show how a vanilla replication approach can generate a macro-hedge...
The contractual trust arrangement
Original headline:
Voluntary funding by plan sponsors using CTAs has recently become a feature of the German pension landscape. This paper reviews common reasons for using CTAs and finds many of them lacking in substance
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