Liability Hedging and Portfolio Choice - Risk Books
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Liability Hedging and Portfolio Choice

By Bernd Scherer


The first book of its kind, that provides a detailed analysis of the interplay between liability calculations, the use of derivatives (including the highly innovative market in inflation derivatives), accounting rules and corporate finance.

Publish date: 1 Dec 2005

Availability: In stock


Book description

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.

Book details

Publish date
1 Dec 2005
155mm x 235mm

Author biography

Bernd Scherer

Bernd Scherer is Chief Scientific Officer for First Private Asset Management. During his 21 years career he worked in senior positions for various hedge funds, asset management companies and banks in Frankfurt, London, New York and Vienna as well as Professor of Finance for EDHEC business school. His academic work has been published in Journals like the Journal of Banking and Finance, Journal of Financial Markets, Journal of Economics and Statistics, Quantitative Finance, Journal of Derivatives, Journal of Portfolio Management, Financial Analysts Journal, Journal of Investment Management, Risk, Financial Markets and Portfolio Management, Journal of Asset Management etc.. Bernd is author/editor of 8 books on quantitative asset management. He holds MBA and MSc degrees from the University of Augsburg and the University of London, as well as a PhD in finance from the University of Giessen.

Table of contents

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

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