Highlights radical rethinking that has taken place in corporate risk management, brought about by the new pension crisis, with its sharp deterioration in funding status for corporate pension funds.
The book offers an integrated corporate finance / risk management approach that is fully consistent with corporate decision making.

Written by Bernd Scherer, Managing Director and Global Head Quantitative Structured Products at Morgan Stanley Investment Management and bestselling author of Portfolio Construction and Risk Budgeting and Asset and Liability Management Tools.

Includes invaluable guidance on the use of derivatives, including inflation derivatives, to hedge liabilities.

Brings you fully up-to-speed on the following topics:

• Valuation of pension liabilities

• Internal verses external funding

• Liability hedging (interest rate risk and inflation risk)

• Portfolio choice and liability relative investing

• Accounting based investing

• Corporate finance versus portfolio theory

Highly accessible and packed with all new research the book is ideal for derivatives desks, pension funds, trustees, asset management firms, academia or anyone with an interest in derivatives or pension economics.

1. Valuation of Pension Liabilities

2. Internal versus External Funding

3. Liability Hedging: Interest Rate Risk

4. Liability Hedging: Inflation Risk

5. Portfolio Choice and Liability Relative Investing

6. Accounting Based Investing

7. Corporate Finance versus Portfolio Theory

Dr Bernd Scherer is Managing Director and Global Head of Quantitative GTAA Products at Morgan Stanley Investment Management, where he is responsible for the creation of active investment strategies within commodities, foreign exchange, credit and equity markets. Before joining Morgan Stanley he has been Head of Quantitative Research and Head of Portfolio Engineering at Deutsche Asset Management in New York. During his 14-year career in asset management he has held various positions at Morgan Stanley, Oppenheim Investment Management Schroders and JP Morgan Investment Management. Dr Scherer's current research interests focus on signal construction, asset pricing and portfolio optimisation. He has written four books and more than 40 publications in the Journal of Portfolio Management, Financial Analysts Journal, Journal of Investment Management, Risk, Financial Markets and Portfolio Management, Journal of Asset Management etc. Bernd is visiting professor at Birkbeck College and external advisor to the Swiss Finance Institute.