ALM Strategies

I’m a little rusty on ALM. Can someone remind me of some the ALM strategies that can be employed. Off the top of my head I can think of: Contingent Immunization CF Matching Duration matching What am I forgetting?

“Take the money and run?” More seriously, those are the primary strategies. CF Matching is the most conservative. Duration matching is slightly less conservative (you might try duration and convexity matching if you’re really serious about avoiding risk). Contingent Immunization is the “we’ll try to outperform, but immunize if we screw up” strategy. The only thing really left is a full active management approach, and there are lots of variations on that (choosing sectors, speculating on interest rate changes, etc.).

Awesome. Thanks bchadwick

bchadwick Wrote: ------------------------------------------------------- Contingent > Immunization is the “we’ll try to outperform, but > immunize if we screw up” strategy. > The name says just that and means it! It is kind of funny that is what stuck. You would’ve figured from a marketing perspective practitioners would have changed the academic title. “Contingent upon us screwing up an IR forecast we will immunize.”