Institutional Asset Liability Management

Since the bursting of the dot.com equity bubble and the global recognition of the pension crisis, both asset managers and investment banks have been developing long-term guaranteed products allowing the sharing of risk between fund managers and investors. Their aim is to provide inflation indexed capital protection while still exposing the client through dynamic asset allocation to higher-risk markets and thus higher returns

Similar dynamic portfolio allocation problems are faced by hedge funds and funds of funds, where tight risk control has recently been added to alpha return generation as an absolute operational priority as a result of the crisis

CSA specializes in the construction of dynamic fund and strategy management solutions employing Stochastics™ technology in which risk is carefully monitored and controlled between portfolio rebalances

Three papers containing details of some of our institutional work on managing guaranteed return and pension funds are available here, here and here, or from our publications section