Risk Budgeting

Using ALM to Determine Investment Strategy

  • Quantify investment objective e.g. 99.5% probability A > L over 5 yr time horizon
  • Asset projection
    • Assumptions for different asset classes
      • dividend yields, asset price growth, div yield growth
      • money market s term interest rates
      • inflation
      • gross redemption yields
      • rental yields and rental growth
      • exchange rates
  • Liability projection

Bibliography