03 March 2009

EDHEC sets up a research chair in ALM and Sovereign Wealth Fund Management in partnership with Deutsche Bank

The EDHEC Risk and Asset Management Research Centre has created a research chair in "ALM and Sovereign Wealth Fund Management", in partnership with Deutsche Bank, under the scientific responsibility of Professor Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre.

The rapid growth of sovereign wealth funds and its implications pose a series of challenges for the international financial markets, but also for sovereign states. The purpose of this research chair is to focus on improving our understanding of optimal investment policy risk management practices for SWFs. In particular, we aim to analyse the optimal investment policy of a SWF in a dynamic ALM framework that will allow us to formalise the impact on the optimal allocation policy induced by the presence of risk factors affecting both the state surplus dynamics and the implicit or explicit liabilities the fund is facing, commented Noël Amenc, Director of the EDHEC Risk and Asset Management Research Centre.

Deutsche Bank is pleased to be partnering with EDHEC in the area of ALM and Sovereign Wealth Fund Management and we are looking forward to the results of expanded academic knowledge in this field. We are confident that this research will further our understanding of optimal investment policy, optimal risk management and the long-term alpha possibilities for SWFs, said Yassine Bouhara, Head of Global Markets, EMEA, at Deutsche Bank.

This research chair will include the following developments:
  • Introducing a formal dynamic asset allocation model that will incorporate the most salient factors in SWF management
  • Proposing an empirical analysis of the risk factors impacting the inflows and outflows of cash of sovereign funds
  • Discussing how investment banks and asset managers could design dedicated solutions for SWFs based on the financial engineering of customised building blocks aimed at facilitating the implementation of hedging demands related to the presence of a variety of risk factors impacting sovereign surpluses and liabilities.
The results of the ALM and Sovereign Wealth Fund Management research chair will be widely disseminated to finance professionals, notably through the specialised website, www.edhec-risk.com, and at conferences organised by EDHEC.

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