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Liability Hedging and Portfolio Choice

  • Publication Date:December 2005
  • Publisher:Risk Books
  • Product Type: Book
  • Pages:280
  • ISBN:1904339662
Liability Hedging and Portfolio Choice

Liability Hedging and Portfolio Choice

Highlights radical rethinking that has taken place in corporate risk management, brought about by the new pension crisis, with its sharp deterioration in funding status for corporate pension funds.

The book offers an integrated corporate finance / risk management approach that is fully consistent with corporate decision making.

Written by Bernd Scherer, managing director of Deutsche Asset Management and bestselling author of Portfolio Construction and Risk Budgeting and Asset and Liability Management Tools.

Includes invaluable guidance on the use of derivatives, including inflation derivatives, to hedge liabilities.

Brings you fully up-to-speed on the following topics:

  • Valuation of pension liabilities
  • Internal verses external funding
  • Liability hedging (interest rate risk and inflation risk)
  • Portfolio choice and liability relative investing
  • Accounting based investing
  • Corporate finance versus portfolio theory

Highly accessible and packed with all new research the book is ideal for derivatives desks, pension funds, trustees, asset management firms, academia or anyone with an interest in derivatives or pension economics.

  • 1. Valuation of Pension Liabilities
  • 2. Internal versus External Funding
  • 3. Liability Hedging: Interest Rate Risk
  • 4. Liability Hedging: Inflation Risk
  • 5. Portfolio Choice and Liability Relative Investing
  • 6. Accounting Based Investing
  • 7. Corporate Finance versus Portfolio Theory
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