Introduction

Each issue of the Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.

News

Forthcoming special issue on Asset Liability Management/Liability Driven Investment for Pension Funds

Publication November 2009
Guest Editors: Professor Gautam Mitra, CARISMA, Brunel University
Dr Elena Medova, Judge Business School, University of Cambridge

In recent years the pension fund industry has adopted tailor-made asset and liability management strategies, also called Liability Driven Investment. The focus of the special issue is on quantitative methods for Asset Liability Management (ALM)/ Liability Driven Investment (LDI) for Pension Funds.

The aim of LDI strategies is to match and outperform a pension fund’s liability stream and at the same time taking into account country-specific regulations. The decision models as well as simulation/evaluation models which take into consideration stochastic asset price dynamics and stochastic behaviour of the liabilities are covered. Inflation risk, interest-rate risk, contribution risk of the pension plan’s sponsor and no doubt the longevity risk of its members, are examples of additional risks some or all of which are measured and managed by these models.