Jump to ContentJump to Main Navigation
Defined Benefit Pension Schemes in the United KingdomAsset and Liability Management$
Users without a subscription are not able to see the full content.

Philippe-N. Marcaillou

Print publication date: 2016

Print ISBN-13: 9780198738794

Published to Oxford Scholarship Online: May 2016

DOI: 10.1093/acprof:oso/9780198738794.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2019. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 13 December 2019

ALM Risk and Performance Monitoring

ALM Risk and Performance Monitoring

Risk and Performance Report

Chapter:
(p.184) 6 ALM Risk and Performance Monitoring
Source:
Defined Benefit Pension Schemes in the United Kingdom
Author(s):

Philippe-N. Marcaillou

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780198738794.003.0006

The objective of a report is to monitor performance and risk metrics and check the efficiency of an investment strategy. This chapter aims to present various and easy-to-understand examples of reports and case studies with useful comments. This chapter will teach you how to build an ALM framework report which shows, at a glance, the variation of the eleven building blocks of an investment strategy over given periods. The variation of the performance and risks of each building block vs their benchmarks and objectives are assessed in detail through useful and comprehensive charts and tables (efficiency of the growth portfolio of assets, performance and risk attribution of each asset class, liability driven investment strategies, management of the liquidity, risk budget, liquidity collateral, diversification, contributions, sponsor covenants monitoring, etc.) These various and important reports will help you quickly analyse results and variations and draw the right conclusions.

Keywords:   ALM framework report, liability driven investment strategy (LDI) assessment, liability driven investment strategy (LDI) monitoring, investment strategy assessment, investment strategy monitoring, risks and performance attribution, risks and performance assessment, risks and performance monitoring, risks and performance report

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .