Pension Plans
Both departing from and complementing traditional risk reporting, RiskKey® can greatly support the thought process and decision objectivity of:
  • CIOs and investment officers
  • Portfolio managers
  • Risk and allocation teams
  • Analysts/manager research teams
  • Administration and finance staff
  • Sponsors

For pension plans, Aiperion R&D tends to belong to three categories: complex risk pricing (e.g. complex market situations, complex investments, etc.), governance, and structural optimization.

Examples of commissioned projects and studies relevant for pension plans:
  • Modeling and pricing complex real options (e.g., deal features) in assets and liabilities
  • Minimum EBITDA growth required to compensate the USD investor for taking risks in certain countries (related to co-investments and private equity investments)
  • Price of FX risk in specific countries (related to decision to hedge specific currencies)
  • Modeling and valuation of restructuring options for the pension plan
  • Model of the liabilities of hybrid public pension plan using an option-based framework
  • Framework for assessing comparatively the structural robustness of retirement systems: DC/DB/hybrid
Examples of consulting services relevant to pension plans:
  • AI + utility-based asset allocation optimization that accounts simultaneously for investment risk, liquidity risk and liability risk
  • AI + utility-based optimization of active risk (implementation)
  • Maximize the forward-looking magnitude and duration of outperformance versus benchmarks and peers
  • Other total portfolio risk management functions: convexity management, multi-criterial leverage optimization, optimal investment sizing
  • Determine the optimal range (size and asymmetry) for each asset class in asset allocation
  • Tactical allocation; optimal positioning within allocation ranges
  • Optimal overlay design: FX, convexity hedging, liquidity risk mitigation, leverage, portable alpha
  • Commitment pacing optimization for private investments
  • Probabilistic macro-dependent models for calls and distributions related to illiquid asset classes
  • Advanced scenario models for probabilistic cash-flow projections that incorporate complex, interconnected risks
  • Short-term liquidity optimization (e.g., to support margin calls from overlays, leverage, etc.)
  • Advanced liquidity stress testing
  • Advanced asset & liability studies
  • Nonlinear modeling of underlying managers. This is particularly powerful in the case of hard-to-model portfolios, such as diversifying, opportunistic, PE, or VC.
  • Nonlinear modeling of internally-managed sub portfolios
  • Various applications of modeling to manager vetting including hidden risk discovery, convexity assessment and risk pricing
  • Optimal liquidity sourcing and deployment: real-time quantitative support for rebalancing, entries and exits (also available on a self-service basis)
  • Training and support for managing the total portfolio directly in the integrated asset-liquidity-liability mathematical space
What is the difference between Aiperion consultancy and R&D?
  • In consultancy, we are generally able to apply our already developed conceptual frameworks and solutions to solve clients’ problems
  • In R&D (projects and studies), we need to develop and apply new conceptual frameworks or solutions to solve clients’ problems
Is Aiperion willing to fund pension-related research?
  • We view governance and structural efficiency of public pensions as major drivers of social value creation. They have been areas of focus for us for more than a decade. We are able to co-fund projects that we do in these areas.
  • Internal funding option for small pension funds: if you have a project which is impactful for your organization and beyond but are budget constrained, talk to us; we will consider it for internal funding
RiskKey only
This site is protected by reCAPTCHA and the Google
Privacy Policy and Terms of Service apply.