The goal of Asset-Liability Management (ALM) of a Defined Benefit Pension Scheme (DB) is to properly manage the risks related to variation in its building blocks on both sides of the balance sheet whilst maintaining the same expected return.
This book provides a step-by-step methodology to maximize the complete restructuring and monitoring of the ALM of DB schemes. It is a product of the author's 25 years of experience and technical knowledge in ALM of Pension Funds, portfolio management, investment banking and, specifically, more than 700 meetings with investment experts in the Pension Industry. It includes 400 figures and tables to help the reader make appropriate decisions and identify hidden tricks.
It provides an in-depth understanding of how an Asset-Liability structure works, how to assess the efficiency of an investment strategy, and how to maximize the management of cash. Liabilities and Liability Driven Investment technics (LDI) are explained through numerous examples. The book shows the reader how to select the right LDI manager, and how to define a liability hedging strategy and monitor its efficiency. It demonstrates how to build efficient investment portfolios and select the appropriate asset classes, as well as how to build and monitor an efficient risks and performances report. In addition, it shows how the most common financial instruments work, their roles, the basics of statistics, and the principles of portfolio construction. Finally, it provides introduction to Buy-in, Buyout, and Longevity risk management.
Philippe-N. Marcaillou has held various management positions in the investment, debt structuring, capital markets, and Pension Fund sectors in France, the UK and the US. As an expert in Debt Structuring Solutions, he was the Head of Group Financing and Subsidiaries for Lafarge Group. He created and successfully managed the Debt Structuring Department for CM-CIC Group. He served as a Chief Investment Officer at Veolia Environnement UK Pension Fund where he oversaw the complete restructuring of the Asset-Liability structure. In addition, he implemented and managed an optimal investment strategy. He was also an investment portfolio manager in cash, bonds, interest rates and derivatives products. Philippe-N. is currently Managing Director in the Capital Markets Department at a major bank. He is a PhD student in Finance. Philippe-N. is an INSEAD Alumnus and holds a Masters Degree in Corporate Finance from Conservatoire National des Arts et Métiers (CNAM) and a Masters Degree in Capital Markets from E.S.L.S.C.A Business School.
