Applying asset-liability management techniques to an Italian pension fund By Dominic Clark | 21 June 2017 The challenge Our client is a large institutional pension fund in Italy. Participants have defined contribution accounts and are able to invest these in either a medium-risk “balanced” subfund or low-risk “guaranteed” subfund. The guaranteed subfund currently accounts for around half of the pension fund’s total assets and is distinguished from the balanced subfund in that it offers a capital guarantee, i.e., minimum interest rate guarantee of 0% per annum. Some pension funds in Italy (such as our client’s fund) are legally obliged to offer a guaranteed subfund of this form. An investment mandate for the guaranteed subfund is granted to an external asset manager, and the mandate effecti

Join for free to read