Risk management for a pension fund

Assignment from a large German pension fund to support the risk management department in further developing the risk model. The subject of the assignment was the analysis and evaluation of the existing process and the calculations made. The objective was to identify existing deficits in the existing process and to make recommendations for improving these deficits. The focus was on the models, the reports for the committees and the documentation of the models. The basis for the recommendations is the long experience in risk management of German life insurers and pension funds.

Finally, a project report with a presentation of the results was prepared. It was described how the processes have developed from the beginning of the project to the end. Subsequently, recommendations were made on how the ALM and risk management processes could be further developed based on the current status quo.