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Asset-Liability Management
ALM and Asset Management
The ALM and Asset Management research programme concentrates on the application of recent research in the area of asset-liability management for pension plans and insurance companies. The research centre is working on the idea that improving asset management techniques and particularly strategic allocation techniques has a positive impact on the performance of Asset-Liability Management programmes. The programme includes research on the benefits of alternative investments, such as hedge funds, in long-term portfolio management. Particular attention is given to the institutional context of ALM and notably the integration of the impact of the IFRS standards and the Solvency II directive project. It also aims to develop an ALM approach addressing the particular needs, constraints and objectives of the private banking clientele.
SOLVENCY II
EDHEC's position papers on the preparation of the Solvency II directive.
IMPACT OF IFRS & SOLVENCY II ON ALM & AM IN INSURANCE COMPANIES
A study jointly produced by the EDHEC Risk and Asset Management Research Centre and the EDHEC Financial Analysis and Accounting Research Centre which reveals the contradictions inherent in the current Solvency II and IFRS provisions for insurance companies.
MANAGING PENSION ASSETS
A paper which considers an intertemporal portfolio problem in the presence of liability constraints.
BENEFITS OF HEDGE FUNDS IN ALM
A study which shows that it is possible to construct diversification benchmarks that allow the risk related to holding stock or bond portfolios to be reduced in a very significant and robust way by appropriately selecting the alternative strategies and optimising these with proven techniques.
ALM DECISIONS IN PRIVATE BANKING
Research discussing the sources of added-value in private wealth management, which argues through a series of illustrations that asset-liability management is the natural approach for the design of truly client-driven services in private banking.
THE AXA INVESTMENT MANAGERS "REGULATION AND INSTITUTIONAL INVESTMENT" RESEARCH CHAIR
Information about the AXA Investment Managers "Regulation and Institutional Investment" Research Chair.
THE BNP PARIBAS INVESTMENT PARTNERS "ASSET-LIABILITY MANAGEMENT AND INSTITUTIONAL INVESTMENT MANAGEMENT" RESEARCH CHAIR
Information about the the BNP Paribas Investment Partners "Asset-Liability Management and Institutional Investment Management" Research Chair.
THE ORTEC FINANCE "PRIVATE ASSET-LIABILITY MANAGEMENT" RESEARCH CHAIR
Information about the ORTEC Finance "Private Asset-Liability Management" Research Chair.
THE DEUTSCHE BANK "ALM AND SOVEREIGN WEALTH FUND MANAGEMENT" RESEARCH CHAIR
Information about the Deutsche Bank "ALM and Sovereign Wealth Fund Management" Research Chair.
THE UFG "DYNAMIC ALLOCATION MODELS AND NEW FORMS OF TARGET-DATE FUNDS FOR PRIVATE AND INSTITUTIONAL CLIENTS" RESEARCH CHAIR
Information about the the UFG "Dynamic Allocation Models and New Forms of Target-Date Funds for Private and Institutional Clients" Research Chair.