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Liability Hedging and Portfolio Choice
Incisive Media, December 2005, Pages: 300
The first book of its kind, this provides a detailed analysis of the interplay between liability calculations, the use of derivatives (including the highly innovative market in inflation derivatives), accounting rules and corporate finance.
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.
The book offers an integrated corporate finance / risk management approach that is fully consistent with corporate decision making.
Written by Bernd Scherer, managing director of Deutsche Asset Management and bestselling author of Portfolio Construction and Risk Budgeting and Asset and Liability Management Tools.
Includes invaluable guidance on the use of derivatives, including inflation derivatives, to hedge liabilities.
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 book is ideal for derivatives desks, pension funds, trustees, asset management firms, academia or anyone with an interest in derivatives or pension economics.
Dr Bernd Scherer heads the Advanced Applications Group in Europe and the Middle East at Deutsche Bank's Asset Management division, offering cutting edge investment solutions to a sophisticated institutional client base. Before joining Deutsche Bank, Dr Scherer globally headed fixed-income portfolio research at Schroder Investment Management in London. During his 10-year career in asset management he has held various positions at Morgan Stanley, Oppenheim Investment Management and JP Morgan Investment Management. He publishes widely in relevant asset management industry journals and investment handbooks and is a regular speaker at investment conferences. Dr Scherer's current research interests focus on asset valuation, portfolio construction, strategic asset allocation and asset liability modelling. Dr Scherer 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.
1. Valuation of Pension Liabilities
2. Internal versus External Funding
3. Liability Hedging: Interest Rate Risk
4. Liability Hedging: Inflation Risk
5. Portfolio Choice and Liability Relative Investing
6. Accounting Based Investing
7. Corporate Finance versus Portfolio Theory