Defined Benefit Pension Schemes in the UK: Asset and Liability Management

Hardcover | April 23, 2016

byPhilippe-N. Marcaillou

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The goal of Asset-Liability Management (ALM) of a Defined Benefit Pension Scheme (DB) is to properly manage the risks related to variation in its building blocks on both sides of the balance sheet whilst maintaining the same expected return. This book provides a step-by-step methodology to maximize the complete restructuring and monitoring of the ALM of DB schemes. It is a product of the author's 25 years of experience and technical knowledge in ALM of Pension Funds, portfolio management, investment banking and, specifically, more than700 meetings with investment experts in the Pension Industry. It includes 400 figures and tables to help the reader make appropriate decisions and identify hidden tricks. It provides an in-depth understanding of how an Asset-Liability structure works, how to assess the efficiency of an investment strategy, and how to maximize the management of cash. Liabilities and Liability Driven Investment techniques (LDI) are explained through numerous examples. The book showsthe reader how to select the right LDI manager, and how to define a liability hedging strategy and monitor its efficiency. It demonstrates how to build efficient investment portfolios and select the appropriate asset classes, as well as how to build and monitor an efficient risks and performancesreport. In addition, it shows how the most common financial instruments work, their roles, the basics of statistics, and the principles of portfolio construction. Finally, it provides introduction to Buy-in, Buyout, and Longevity risk management.

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The goal of Asset-Liability Management (ALM) of a Defined Benefit Pension Scheme (DB) is to properly manage the risks related to variation in its building blocks on both sides of the balance sheet whilst maintaining the same expected return. This book provides a step-by-step methodology to maximize the complete restructuring and monito...

Philippe-N. Marcaillou has held various management positions in the investment, debt structuring, capital markets, and the Pension Fund sectors. He served as a Chief Investment Officer of a Pension Fund where he achieved the complete restructuring of the Asset-Liability structure and implemented and managed an optimal investment strate...
Format:HardcoverDimensions:304 pagesPublished:April 23, 2016Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:019873879X

ISBN - 13:9780198738794

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Table of Contents

Preface1. Introduction to Defined Benefits Pension Scheme2. Understanding Asset and Liability Management (ALM)3. Understanding Liabilities4. Understanding Liability Driven Investment (LDI)5. Investment Policy: Understanding Asset Allocation Construction6. ALM Risk and Performance MonitoringAppendix 1: Understanding Financial InstrumentsAppendix II: Introduction to StatisticsAppendix III: Growth Asset Portfolio Construction PrinciplesAppendix IV: Buy-in, Buyout, Longevity Risk Management