The BNP Paribas Investment Partners "Asset-Liability Management and Institutional Investment Management" Research Chair
The BNP Paribas Investment Partners "Asset-Liability Management and Institutional Investment Management" Research Chair will be piloted by a joint BNP Paribas Investment Partners/EDHEC-Risk Institute committee and will give rise to a major three-year research programme.
The chair, under the responsibility of Lionel Martellini, the Scientific Director of EDHEC-Risk Institute, will examine dynamic allocation strategies in asset-liability management in order to formulate an integrated ALM model.
The results of the initial research project, relating to dynamic allocation strategies in ALM and illustrated by case studies on life insurance, retirement schemes and pension funds in Europe, were presented at the EDHEC-Risk Institutional Days at the CNIT in Paris on June 12 and 13, 2008.
[Press release announcing the launch of the research chair (08/10/07)]
Research output:
• Measuring the Benefits of Dynamic Asset Allocation Strategies in the Presence of Liability Constraints (March 2009)
- Press release announcing the publication of the research:
- Research publication:
The results of the study suggest that it is not so much the presence of funding ratio constraints that is in itself costly for pension funds as their reluctance to implement risk-management strategies that are optimal given such short-term constraints.
According to EDHEC-Risk Institute, dynamic risk-management strategies can turn irreversible contributions into reversible contributions and short-term constraints into long-term constraints, hence the severe opportunity cost for pension funds that do not follow them.
- "Managing Pension Assets: from Surplus Optimization to Liability Driven Investment"; Lionel Martellini; March 2006.
