Liability Driven Investment (LDI): An Exercise in Risk Management

Andrew Clare and Chris Wagstaff

Chapter Chapter 15 in The Trustee Guide to Investment, 2011, pp 391-428 from Palgrave Macmillan

Abstract: Abstract Understand how Liability Driven Investment (LDI) seeks to reduce a scheme’s potentially unrewarded risk while capturing potentially rewarded risks. Understand that LDI should be both a risk management and risk reallocation exercise. Understand what risks are targeted and how they are mapped and measured. Understand how interest rate and inflation risk can be mitigated. Appreciate the risk posed by improving longevity and how it can be mitigated. Understand what is involved in implementing a successful de-risking programme.

Keywords: Interest Rate; Investment Bank; Pension Scheme; Asset Class; Interest Rate Risk (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-36187-4_15

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DOI: 10.1057/9780230361874_15

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