Archive

Archive for the ‘Liability Hedging’ Category


Optimal hedging: Bespoke topiary for pension schemes

  In a recent blog my colleague David Rae argued that there is no magic number for the right level of leverage for a derivative based liability hedge. Like so much in pensions it depends on the scheme. Similarly my personal experience in designing optimal hedging strategies for my clients (optimal in the sense of

Nov 20, 2014 Categories: Liability Hedging

Derisking

Last week, my colleague Sorca Kelly-Scholte posted on the publication of the PPF ‘Purple Book’. In particular, Sorca highlighted the extent to which asset de-risking appeared to have slowed down based on asset allocation trends. As I read the same publication, I was caught by a different chart. On page 91 of the Purple Book,

Nov 14, 2014 Categories: Liability Hedging

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