Asset Liability Management (ALM) study

Defining and underpinning long-term policies requires an overall consideration of policy instruments and the impact of choices on risks and returns. An Asset Liability Management (ALM) study provides a solid foundation for this. Triple A’s expertise helps identify various scenarios and alternatives helping to pave the way for responsible policy decisions.

The Financial Assessment Framework Act (Wet financieel toetsingskader FTK) and Solvency II force pension funds and insurers to keep their finger on the pulse in the field of balance sheet management. In any policy choice, a balance in risks, returns and the representation of stakeholders’ interests must be transparent. This applies for both the short and long term. We help you objectively map the impact of policy choices on the risks and returns for stakeholders. We do this by means of an ALM study that is precisely tailored to your situation and can be translated directly into practice.

Step-by-step towards a clear conclusion with the ALM study

During the ALM study, an integral policy assessment is made. This is based on both stochastic and deterministic (stress) scenarios. Characteristic of our analysis is the iterative process, in which possible alternatives are gradually explored in broad terms and the results are refined to arrive at a final conclusion. Triple A is unique in that it applies economic scenarios that use regime switching. The advantage of this method is that the tail risks of the policy are not underestimated.

An ALM study, performed by Triple A, includes the following steps:

• (Joint) determination of the risk appetite
• Determination of research questions
• Actuarial (premium and indexation policy)
• Investment policy
• Establishing economic principles
• Analysis
• Final conclusions

Effective use of risk budget

The ALM study provides an integrated assessment of the various policy instruments and the impact of policy choices on the balance. You can immediately see whether your policy is in line with the objectives and risk appetite of the entity concerned. Moreover, the ALM study increases the effective monitoring and deployment of your risk budget.

You can rely on our broad knowledge and experience in setting up and conducting ALM studies tailored to specific risk situations. We have conducted ALM studies for insurers and pension funds including DC providers and references are available.

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