1 online resource : illustrations (black and white)
Contents
Cover; Defined Benefit Pension Schemes in the United Kingdom: Asset and Liability Management; Copyright; Dedication; Preface; WHERE DID THE IDEA TO WRITE THIS BOOK COME FROM?; WHAT ARE THE OBJECTIVES OF THIS BOOK?; WHAT ELSE DOES THIS BOOK OFFER?; HOW IS THE BOOK STRUCTURED?; Acknowledgements; Contents; List of Figures; List of Tables; 1: Introduction to Defined Benefit Pension Schemes; 1.1 UK PENSION STATISTICS AT A GLANCE; 1.1.1 Deficit; 1.1.2 Funding Sensitivities; 1.2 INTRODUCTION TO DEFINED BENEFIT PENSION SCHEMES; 1.3 WHO ARE THE MEMBERS?; 1.4 WHAT IS THE TREND?; 1.5 PENSION GOVERNANCE
1.5.1 Who Are the Main Parties Involved in a Defined Benefit Pension Fund?1.5.1.1 The Trustees; 1.5.1.2 The Pension Regulator (TPR); 1.5.1.3 The Pension Protection Fund; 2: Understanding Asset and Liability Management (ALM); 2.1 DEFINITION OF THE OBJECTIVES; 2.1.1 ALM Management: A Balanced Management Approach; 2.1.1.1 Building Blocks of the Funding Ratio; Funding Ratio (Asset/Liabilities) Components; CONTRIBUTIONS; GROWTH PORTFOLIO OF ASSETS; LIABILITIES; 2.1.2 Funding Ratio Maximization: Design of a Strategic Solution Process; 2.1.3 Funding Target: Required Performance Assessment
2.1.3.1 Valuation MethodologiesTechnical Provisions; Accounting Basis (IAS19); Protection Pension Fund (PPF); Buyout (Section 75); 2.1.3.2 Consequences to the Funding Ratio; Impact on the Funding Ratio; 2.1.3.3 Consequences to the Investment Strategy; 2.1.3.4 Various Rates of Return Scenarios: Consequences to the Funding Ratio; 2.1.4 Horizon of Investment; 2.2 ALM STRUCTURE OF A SCHEME: RISK AND PERFORMANCE ASSESSMENT; 2.2.1 Risk and Rate of Return; 2.2.2 Introduction to the Sharpe Ratio; 2.2.3 ALM Risk and Performance Assessment:Introduction to the Building Blocks; 2.2.3.1 Context
2.2.3.2 Asset and Risk AllocationWhat Is the Current Asset Allocation Breakdown?; What Is the Current Risk Allocation?; Introduction to Correlation; Are Liabilities Hedged?; Asset Allocation: Current Portfolio and Comparison to Three Alternatives (see Table 2.5); 2.2.3.3 Historical Data Analysis: Comparison of the Performance of Portfolios; Introduction to Some Performance and Risk Metrics; ANNUALIZED RETURN; STANDARD DEVIATION; MAXIMUM DRAWDOWN; INTRODUCTION TO VALUE-AT-RISK (VaR); VaR: How does it work?; VaR Graph representation (Gaussian distribution); CONDITIONAL VALUE-AT-RISK (CVaR)
ANNUALIZED CASH RETURNSHARPE RATIO; Some Observations over the Period 2007-10 Analysis; PORTFOLIO'S PERFORMANCE ANALYSIS; PORTFOLIO'S RISK ANALYSIS; SKEWNESS AND KURTOSIS: TWO OTHER INTERESTING METRICS; Introduction to Skewness; Introduction to Kurtosis; Skewness and Kurtosis: Conclusion; 2.2.3.4 Forward-looking Data Analysis of the Deficit; What Are the Long-term Return and Risk Assumptions?; What Are the Long-term Correlation Assumptions?; Probabilistic Approach: Value-at-Risk Analysis; COMMENTS
Summary
This work provides a step-by-step methodology to maximize the complete restructuring and monitoring of the Asset-Liability Management of Defined Benefit schemes and helps the reader understand techniques of managing assets and liabilities in a coherent and consistent way
Notes
This edition previously issued in print: 2016
Bibliography
Includes bibliographical references and index
Notes
Online resource; title from home page (viewed on May 4, 2016)
