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Sang-hoon Kim
Research and Insights
Articles by Sang-hoon Kim
Market Insight: Analyzing Hedges for Liability-Driven Investors
Research Report | Mar 30, 2012 | Lisa Goldberg, Sang-hoon KimManaging surplus risk enables pension plans and endowments to align their asset allocations with their future obligations. BarraOne’s Correlation Risk Decomposition enables investors to identify the drivers of surplus risk, and to analyze the potentially subtle impact of specific hedges. In this case study, a term structure hedge using an interest rate swap substantially lowers surplus risk as expected. However, a credit hedge using a default swap elevates surplus risk.