Calculating correlations – how technology is sharpening ALM approaches

The right mix

Carola Lawton-Brown, RLAM

It is of little surprise that those charged with managing the assets of insurance companies and pension funds are now more focused on risk. The financial crisis of 2007-08, quickly followed by the sovereign debt crisis, has shaken the foundations of traditional equity and bond portfolios. Meanwhile, the crises have exposed correlations between assets and liabilities that were previously either hidden or of such low apparent probability that they were all but ignored. Now the heightened awareness