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EDHEC reviews integrated ALM for corporate pensions


The EDHEC-Risk Institute has found that leverage decisions have a strong impact on the fair value of pension liabilities and that risk-controlled strategies allow the pension fund to take on more risks, which has a positive effect on equity value of a company, while protecting pensioners.

A new publication, “An Integrated Approach to Asset-Liability Management: Capital Structure Choices, Pension Fund Allocation Decisions and the Rational Pricing of Liability Streams,” contains the results of two years of research work conducted within the BNP Paribas Investment Partners research chair on asset-liability management and institutional management.

“Our model has important policy