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Defined Benefit Pension Schemes in the United KingdomAsset and Liability Management$
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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

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 08 December 2021

ALM Risk and Performance Monitoring

ALM Risk and Performance Monitoring

Risk and Performance Report

(p.184) 6 ALM Risk and Performance Monitoring
Defined Benefit Pension Schemes in the United Kingdom

Philippe-N. Marcaillou

Oxford University Press

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

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