标题: Duration Mismatch for Institutional Investor [打印本页] 作者: krause2 时间: 2011-7-11 19:36 标题: Duration Mismatch for Institutional Investor
It seems banks need to manage the leverage-adjusted duration mismatch for overall interest rate management.
How does insurance company differ from banks in terms of managing duration mismtach (between Asset and Liability)?
Furthermore,
Does pension plan need to always match duration of A and L?作者: bodhisattva 时间: 2011-7-11 19:36
Banks: securities portfolio is a residual use of funds for banks. their prime business is making loans and taking deposits.
Insurance Cos: primary goal is to invest ts portfolio in a manner that it has sufficient funds to meet claims as and when they arise. and meeting these claims is of utmost importance.
Pensions: Yes, always an ALM approach i.e. match D.assets = D.liabilities作者: mik82 时间: 2011-7-11 19:36
to some extent 'Yes' becoz they face an uncertain timing of their liabilities. At best, they have actuarial guidance for their arrival but dont know the specific dates as to when they will happen. also the risk of intermediation from increasing intrest rates has somewhat introduced uncertainity into the timing of liquidity demands for insurance cos.作者: Chuckrox 时间: 2011-7-11 19:36
Not deliberately. Insurance liabilities can be quite long-dated and there are no assets to match duration. Particularly in less developed markets where the duration mismatch can be quite large.
