Practical aspects in deploying strategic asset allocations for liability-driven investors
A Reacfin presentation in quantitative finance
By Francois Ducuroir, Wim Konings & Dr. Sébastien de Valeriola
Reacfin held in Brussels on March 18th 2016 its third seasonal breakfast. This session’s focus was to review some practical aspects and best market practices when it comes to assess the strategic asset allocation of liability-driven investors (i.e. Insurance companies, Banks, pension funds or “personal ALM” applications for private investors.
Topics covered during this presentation include:
- Rationale for reviewing SAA & main methodologies
- Defining optimization criteria’s & constraints
- Selecting best granularity of asset classes & risk drivers
- Practical methods for robust models calibration
- Selection of stochastic models in Economic Scenario Generator
- Practical example of implementation using the Reacfin tools
- At the occasion of this, Reacfin also presented practical cases for adequately calibrating and using a Real-World Economic Scenario Generator using our internal tools for which a demo version is available on http://apps.reacfin.com/ESG/
Interested readers may download the slides for this presentation here.