Gross discrepancies in pension ALM

Aaron Woolner
29 Sep 2010

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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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