ERM-321-14: LDI Evolution: Implementing Dynamic Asset Allocation Strategies that Respond to Changes in Funded Status


Reading Source: ERM-321-14 Study Note

Topics Covered in this Reading:

  • Executive Summary
  • When a Surplus is Not Surplus
  • Surplus Value-at-Risk
  • The 60/40 Example
  • The Paradox: Better Funded Status, Higher Risk
  • Conclusion: Implications for Rebalancing Strategies