Alternative asset classes: Why and what to model, and considerations for risk management
By Hervé Andrès, Alexandre Boumezoued, Grzegorz Darkiewicz, Rikiya Ino, Daren Lockwood, Fiona Ng, and Russell Ward
16 February 2022
Over the last decade, alternative asset classes have drawn significant attention among life insurance and pension companies as part of their strategic asset holdings, in addition to traditional investments such as government and corporate bonds or equities. In this context, this paper explores:
- Highlights of current opportunities related to investments in alternative asset classes
- Investment, risk management and regulatory practices in different markets
- The challenges in modelling alternative asset classes and related risk
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Alternative asset classes: Why and what to model, and considerations for risk management
Challenges for companies in the alternative asset space include building an internal model and accounting for regulatory treatment for capital set aside.
Hervé Andrès, Alexandre Boumezoued, Grzegorz Darkiewicz, Rikiya Ino, Daren Lockwood, Fiona Ng, Russell Ward