Philippe-N. Marcaillou
- Published in print:
- 2016
- Published Online:
- May 2016
- ISBN:
- 9780198738794
- eISBN:
- 9780191802003
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198738794.003.0002
- Subject:
- Economics and Finance, Financial Economics
Chapter 2 demonstrates the author’s pragmatic approach regarding ALM and funding ratio maximization as well as his processes. It gives an overview of ALM risk management and shows how to build an ALM ...
More
Chapter 2 demonstrates the author’s pragmatic approach regarding ALM and funding ratio maximization as well as his processes. It gives an overview of ALM risk management and shows how to build an ALM strategy with the right risk metrics. The chapter shows various methodologies for calculating liabilities and for each methodology, the impacts on the funding ratio, contributions, and the investment strategy. Based on actual examples, this chapter teaches decision-makers to assess where risks and tricks are located, ALM investment strategies and how to measure their risk aversion in order to select the right investment strategy (risk allocation of the return-seeking portfolio, liability hedging strategy, performance and horizon of investment). It provides techniques for assessing the efficiency of the management of the liquidity. This chapter teaches decision-makers to define the targets of each component of an ALM framework, a powerful tool for monitoring the efficiency of the investment strategy.Less
Chapter 2 demonstrates the author’s pragmatic approach regarding ALM and funding ratio maximization as well as his processes. It gives an overview of ALM risk management and shows how to build an ALM strategy with the right risk metrics. The chapter shows various methodologies for calculating liabilities and for each methodology, the impacts on the funding ratio, contributions, and the investment strategy. Based on actual examples, this chapter teaches decision-makers to assess where risks and tricks are located, ALM investment strategies and how to measure their risk aversion in order to select the right investment strategy (risk allocation of the return-seeking portfolio, liability hedging strategy, performance and horizon of investment). It provides techniques for assessing the efficiency of the management of the liquidity. This chapter teaches decision-makers to define the targets of each component of an ALM framework, a powerful tool for monitoring the efficiency of the investment strategy.
Philippe-N. Marcaillou
- Published in print:
- 2016
- Published Online:
- May 2016
- ISBN:
- 9780198738794
- eISBN:
- 9780191802003
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198738794.003.0005
- Subject:
- Economics and Finance, Financial Economics
On the asset side, trustees must build a robust return-seeking asset portfolio in accordance with the risk and performance strategy defined in the ALM framework and the LDI strategy. This chapter ...
More
On the asset side, trustees must build a robust return-seeking asset portfolio in accordance with the risk and performance strategy defined in the ALM framework and the LDI strategy. This chapter provides the building blocks of an efficient investment portfolio strategy. Readers will understand the positive effect of diversification on the risk/return profile of portfolios and how to measure the skills of portfolio managers in security selection and the passive replication of risk-adjusted return of indexes. An overview is provided of the asset class universe and various management styles, the way to look at asset classes in terms of risk-adjusted returns. How to build various portfolios and undertake simulations in order to select the most appropriate portfolio to meet the objectives of performance and risk aversion are explained. Based on case studies, readers will learn how to analyse investment portfolios, simulations, build efficient frontiers and draw conclusions.Less
On the asset side, trustees must build a robust return-seeking asset portfolio in accordance with the risk and performance strategy defined in the ALM framework and the LDI strategy. This chapter provides the building blocks of an efficient investment portfolio strategy. Readers will understand the positive effect of diversification on the risk/return profile of portfolios and how to measure the skills of portfolio managers in security selection and the passive replication of risk-adjusted return of indexes. An overview is provided of the asset class universe and various management styles, the way to look at asset classes in terms of risk-adjusted returns. How to build various portfolios and undertake simulations in order to select the most appropriate portfolio to meet the objectives of performance and risk aversion are explained. Based on case studies, readers will learn how to analyse investment portfolios, simulations, build efficient frontiers and draw conclusions.
