Project Scope:
I conducted comprehensive asset-liability management (ALM) research for a defined benefit pension fund with $200 million in assets and 2,000 members. The project aimed to optimize the investment strategy while managing the fund's exposure to interest rate risk and longevity risk.

Methodology:
• Projected pension liabilities under various economic scenarios using stochastic modeling
• Analyzed the fund's current asset allocation and duration profile
• Performed duration matching analysis to identify asset-liability mismatches
• Evaluated liability-driven investment (LDI) strategies
• Stress-tested the funding position under adverse market conditions
• Modeled the impact of different hedging strategies on funding volatility

Results:
I identified a duration gap of 4.2 years between assets and liabilities and recommended a dynamic ALM strategy that would reduce funding ratio volatility by 35% while maintaining expected returns. The optimal portfolio included a 40% allocation to liability-hedging assets.

Impact:
The pension fund trustees adopted my recommendations, implementing a phased transition to the new investment strategy. This approach is projected to improve the funding ratio stability and reduce the risk of requiring additional sponsor contributions during market downturns.