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Risk Management
Liability Hedging and Portfolio Choice

Authors: Bernd Scherer
Editions: Risk Books
Pages: 300 pages
Date: December 2005
 
 
 
Summary
The book 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, and offers an integrated corporate finance/risk management approach that is fully consistent with corporate decision making.

It includes invaluable guidance on the use of derivatives, including inflation derivatives, to hedge liabilities and 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 publication is ideal for derivatives desks, pension funds, trustees, asset management firms, academia or anyone with an interest in derivatives or pension economics.

About the Author:

Bernd Scherer teaches finance at EDHEC Business School and is a member of EDHEC Risk. At the time of writing, he was also on the management board of the London Quant Group. Before joining EDHEC he was managing director and global head of Quantitative Asset Allocation at Morgan Stanley Investment Management, where he was responsible for the creation of active investment strategies within commodities, foreign exchange, credit and volatility products. During his 16-year career in asset management he has held various senior positions at Morgan Stanley, Deutsche Bank, Oppenheim Investment Management and J P Morgan Investment Management. Bernd’s current research interests focus on signal construction, portfolio optimisation and asset liability modelling. He has written six books and more than 50 publications in leading academic and practitioner journals, such as the Journal of Banking and Finance, Journal of Financial Markets, Journal of Economics and Statistics, Journal of Portfolio Management, Financial Analysts Journal, Journal of Investment Management, Risk, Financial Markets and Portfolio Management, Journal of Asset Management, etc. Bernd holds MBA and MSc degrees from the University of Augsburg and the University of London, as well as a PhD in finance from the University of Giessen. Bernd Scherer is currently Affiliate Professor of Finance at EDHEC Business School.