This paper investigates whether employer sponsors manage their pension risk exposure as an integral part of firm risk, or manage these two risk exposures separately over an extended period (2003-2010) in the UK, when transition from a disclosure to a recognition pension accounting regime has taken place. We test three competing explanations of corporate pension investment policy: coordinated ri...

We investigate the impact of delegated portfolio management on asset prices in a noisy rational equilibrium model. Asset prices in our model are linear in fund managers’ private signals and in realized supply shocks. We show that equilibrium expected returns 1) decrease as the proportion of fund managers increase in the economy; 2) decrease as the precision of fund managers’ signals increase’ a...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability (or funding liquidity) modeling, the second focuses market and third considers asset-liability management gap matching). purpose this to propose methodological practical framework order perform stress testing programs, c...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling liability (or funding liquidity), second dedicated to market whereas third considers management asset-liability matching). purpose this propose methodological and practical framework order perform stress testing progr...

We analyze the financial planning problems of young households whose main decisions are how to finance the purchase of a house (liabilities) and how to allocate investments in pension savings schemes (assets). The problems are solved using a multi–stage stochastic programming model where the uncertainty is described by a scenario tree generated from a vector auto-regressive process for equity r...