英国の確定給付年金制度 Defined Benefit Pension Schemes in the UK : Asset and Liability Management

英国の確定給付年金制度<br>Defined Benefit Pension Schemes in the UK : Asset and Liability Management

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英国の確定給付年金制度
Defined Benefit Pension Schemes in the UK : Asset and Liability Management

Marcaillou, Philippe-N.

ウェブストア価格 ¥39,029（本体¥35,481）
Oxford University Press（2016/03発売）
外貨定価 US$ 180.00
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ポイント 1,770pt

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製本 Hardcover:ハードカバー版／ページ数 384 p.
言語 ENG
商品コード 9780198738794
DDC分類 331.2520941

Full Description

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 than 700 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 shows the 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 performances report. 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.

Preface 1: Introduction to Defined Benefits Pension Scheme 2: Understanding Asset and Liability Management (ALM) 3: Understanding Liabilities 4: Understanding Liability Driven Investment (LDI) 5: Investment Policy: Understanding Asset Allocation Construction 6: ALM Risk and Performance Monitoring Appendix 1: Understanding Financial Instruments Appendix II: Introduction to Statistics Appendix III: Growth Asset Portfolio Construction Principles Appendix IV: Buy-in, Buyout, Longevity Risk Management