The goal of Asset-Liability Management (ALM) of a Defined Benefit Pension Scheme (DB) is to properly manage the risks related to variation in its building blocks on both sides of the balance sheet whilst maintaining the same expected return. This book provides a step-by-step methodology to maximize the complete restructuring and monitoring of the ALM of DB schemes. It is a product of the author's 25 years of experience and technical knowledge in ALM of Pension Funds, portfolio management, investment banking and, specifically, more than 700 meetings with investment experts in the Pension Industry. It includes 400 figures and tables to help the reader make appropriate decisions and identify hidden tricks. It provides an in-depth understanding of how an Asset-Liability structure works, how to assess the efficiency of an investment strategy, and how to maximize the management of cash. Liabilities and Liability Driven Investment techniques (LDI) are explained through numerous examples. The book shows the reader how to select the right LDI manager, and how to define a liability hedging strategy and monitor its efficiency. It demonstrates how to build efficient investment portfolios and select the appropriate asset classes, as well as how to build and monitor an efficient risks and performances report. In addition, it shows how the most common financial instruments work, their roles, the basics of statistics, and the principles of portfolio construction. Finally, it provides introduction to Buy-in, Buyout, and Longevity risk management.

Review:

This is a timely book bringing in one place the asset liability management of defined benefit pension schemes. There is something for everyone in the book, an overview and details on liability and assets risks as well - the structure of the book is particularly good. The best thing about the book is that it presents ALM in a simple and easy to understand way, which is really helpful to trustees and pension managers of schemes. This book certainly brings an alternative approach to managing pensions. Dinesh Visavadia, Head of Pensions, Britvic plc Defined Benefits Pension Schemes in the UK is a timely and valuable contribution for decision-makers to prepare investment committees, ask the right questions, challenge solutions provided by investment experts and fully understand the consequences of their decisions. It is a major achievement. Bernard Marois, Emeritus Professor Finance HEC, Honorary President of the HEC Finance Club Marcaillou takes us inside the way the assets and Liabilities of DB schemes work and explains how to maximise both sides of the capital structure; he leaves no stone unturned in his exploration and practical conclusions that he has decided to pass on. The depth of the book will make it a valuable addition to everyone interested by this strategic and complex topic ... Highly recommended. Jean Eyraud, Chairman Af2i French Association of Institutional Investors Philippe's book develops a powerful methodology for maximizing investments and making better investment decisions. He has consolidated his extensive experience, summarizes practical conclusions and enables the reader to improve their knowledge without being overwhelmed by the more obscure elements of the investment and actuarial professions. Richard Waterbury, Chairman of Trustees, Akzo Nobel CPS Pension Fund This book is an important contribution to the industry. The author brings a holistic view of a complex topic, making it simpler to grasp. This tour de force brings unique insights and useful references to practitioners, regulators and academics. Marcaillou brings all his inside knowledge together in Defined Benefits Pension Schemes in the UK. Pascal Duval, Chief Executive Officer, Russell Investments, EMEA