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 ...
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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.
