Axa Investment Managers Research Paper

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EDHEC-Risk Institute has created a research chair in "Regulation and Institutional Investment", in partnership with AXA Investment Managers (AXA IM), which is under the scientific responsibility of Lionel Martellini, Director of EDHEC-Risk Institute.

The interaction between regulation and institutional investment management is a key issue for European institutional investors, and the aim of the chair is to carry out a joint operation on a European scale to highlight the challenges for institutional investment management of regulatory developments.

The theme for the first year of this three-year programme was "The influence of the institutional and regulatory framework on the financial management of pension funds in Europe."

[Press release announcing the launch of the research chair: 21/09/07]

Research output:

Superannuation v2.0: Towards the next generation of pension funds in Australia
July 2014
Frédéric Blanc-Brude, Frédéric Ducoulombier
This paper discusses potential improvements to the design of retirement products in the Superannuation system, including the impact of transparency and governance on the credibility of the pension investment solutions, the role of market structure and competition on the creation of adequate investment options, the role of asset allocation and risk management in the determination of optimal pension products including default options, and the matter of the horizon of lifecycle investment solutions in a country with rising longevity. [Press release announcing the publication of the research: 24/07/14]

Investment Solutions for East Asia's Pension Savings
May 2013
Frédéric Blanc-Brude, François Cocquemas, Albena Georgieva
Two of the most commonplace stylised facts about East Asia have to do with pension issues: the region's population is ageing fast and its household sector has high savings rates. Both ideas are intuitively related: as demographic transitions occur, more individuals should save in preparation for their retirement. This paper examines the relationship between savings and retirement income in East Asia, defined as North-East Asia and Greater China (Japan, Korea, Taiwan, China and Hong Kong).

Shifting Towards Hybrid Pension Systems: A European Perspective
March 2012
Samuel Sender
This paper examines recent developments and the major risks of retirement systems, from both the sponsor and pension risk perspective, while focusing on European pension schemes. The study looks at plan design and governance, with the aim of moving towards an ideal retirement plan, and analyses the challenges for the financial management of hybrid pension plans. [Press release announcing the publication of the research: 03/05/12]

The Elephant in the Room: Accounting and Sponsor Risks in Corporate Pension Plans
March 2011
Samuel Sender
As part of the AXA research chair on regulation and institutional investment, EDHEC surveyed corporate pension funds, their sponsors, and advisers to assess how sponsors manage pension risk and how pension funds manage sponsor risk. There are 100 respondents to the survey; they manage pension funds assets of more than €730 billion (the assets of sponsoring companies are greater than €5.5 trillion). [Press release announcing the publication of the research: 21/06/11]

EDHEC-Risk Survey of the Asset and Liability Management Practices of European Pension Funds
June 2010
Samuel Sender
EDHEC took a survey of pension funds, their advisers, regulators, and fund managers. One hundred twenty-nine of these asset/liability management (ALM) specialists, representing assets under management (AUM) of around €3 trillion, responded to the survey. EDHEC Risk Institute finds, amongst other key conclusions, that the majority of respondents have a blinkered view of their risks: accounting risk (the volatility from the pension fund in the sponsor’s books) is managed by only 33% of respondents, and more than 50% ignore sponsor risk (the risk of a bankrupt sponsor leaving a pension fund with deficits). In addition, pension funds generally do not assess the adequacy of their ALM, a failing that may lead to sub-optimal decisions’ being taken again and again. [Press release announcing the publication of the research: 27/09/10]

Reactions to an EDHEC Study on the Impact of Regulatory Constraints on the ALM of Pension Funds
October 2009
Samuel Sender
EDHEC surveyed pension funds, their advisers, their regulators, their fiduciary managers, and their asset managers for their reactions to an EDHEC study entitled “Impact of regulations on the ALM of European pension funds”. The call for reaction elicited 142 non-blank responses and is the first international survey in which both regulatory constraints and the means of managing them—modern ALM techniques—are assessed jointly. 93.7% of respondents (95.3% of those from pension funds) report that they are somewhat or very familiar with accounting and/or prudential constraints for pension funds; the results of the call for reaction are very much aligned with EDHEC’s views that modern ALM techniques are instrumental in managing minimum funding constraints and that short-termism is counterproductive for pension funds. In addition, the respondents believe that risk management is more instrumental in protecting minimum funding ratios than high initial funding ratios; the implications are that regulations should provide incentives to build internal models. [Press release announcing the publication of the research: 05/11/09]

The European Pension Fund Industry Again Beset by Deficits
April 2009
Samuel Sender
In 2003, the pension fund industry was severely affected by the steep fall in equity prices and the fall in interest rates. This fall and its consequences led to broad regulatory changes and spurred work on asset and liability management theory and techniques. But it seems that these new regulations and techniques have not enabled the pension fund industry to weather the current return of the perfect storm? We go over recent publications and look into the reasons for the fall in funding ratios.

The Impact of Regulations on the ALM of European Pension Funds
January 2009
Noël Amenc, Lionel Martellini, Samuel Sender
This study analyses the impact of prudential and accounting constraints on the asset-liability management (ALM) of European pension funds in the Netherlands, the UK, Germany, and Switzerland. It is our conviction that the two main conclusions of the study—that the retirement system would be more stable if regulators were more willing to tolerate short-term risk and that pension funds should build internal models for their investment strategies—will have far-reaching consequences on institutional investment in Europe. [Press release announcing the publication of the research: 28/04/09]

Related research:

Are there really any risk-free rates?
January 2009
Samuel Sender
When government bonds are risky and regulators overly prescriptive.

The Impact of IFRS and Solvency II on Asset-Liability Management and Asset Management of Insurance Companies
November 2006
Noël Amenc, Philippe Foulquier, Lionel Martellini, Samuel Sender
A study that reveals the contradictions inherent in the current Solvency II and IFRS provisions for insurance companies. The report shows notably that the numerous provisions proposed by the IFRS are at odds with the good risk management practices put forward by Solvency II. This research was supported by AXA Investment Managers.

Solvency II
Links to EDHEC-Risk Institute's position papers on the Solvency II project that aims to reform regulatory capital for insurance companies.

Managing Pension Assets: from Surplus Optimization to Liability Driven Investment
March 2006
Lionel Martellini
A paper introducing a formal continuous-time model of intertemporal asset allocation decisions in the presence of liability constraints, and discussing how recent industry trends such as liability-driven investment fit with respect to the theoretical optimally designed strategies.

Related events:

Towards Optimal Pension Plan Design in Europe
An exclusive presentation of a major EDHEC study on recent developments and the major risks of retirement systems, from both the sponsor and pension risk perspective
Rome – June 12, 2012
London – July 3, 2012
Paris – July 4, 2012

At special presentations as part of the EDHEC/AXA Investment Managers research chair on Regulation and Institutional Investment, Samuel Sender, Applied Research Manager at EDHEC-Risk Institute, will be presenting a major study by the Institute on plan design and governance, with the aim of moving towards an ideal retirement plan while analysing the challenges for the financial management of hybrid pension plans.

It is clear that complete reliance on sponsor guarantees makes little sense in view of the prevailing economic context and demographic trends in Europe. With more hybrid pension schemes in Europe, and a shift towards Defined- Contribution (DC) funds in the United Kingdom and the United States, there is a requirement for improved governance, investment options and communication to employees.

As the EDHEC-Risk presentation will indicate, a degree of regulatory convergence is desirable, with DC funds having more guarantees and, at the same time, more flexibility to diversify risk and adopt professional risk management practices. Defined-Benefit (DB) and hybrid funds need more flexible guarantees. However, while regulators must try to design an adequate framework and give adequate incentives, it is the responsibility of the industry, whatever the category of fund, to make the considerable improvements in investment and risk management practices that are now needed.

This complimentary event is by invitation only and is open to institutional investor representatives and consultants.

For further information about the presentations, please contact

The Elephant in the Room: Accounting and Sponsor Risks in Corporate Pension Plans
An exclusive presentation of the second-year research work carried out as part of the EDHEC-Risk Institute/AXA Investment Managers research chair on Regulation and Institutional Investment
Paris – May 16, 2011
Amsterdam – May 17, 2011
London – May 18, 2011

At special presentations to be held in Paris, Amsterdam and London as part of the EDHEC-Risk Institute/AXA Investment Managers research chair on Regulation and Institutional Investment, Samuel Sender, Applied Research Manager at EDHEC-Risk Institute, will present a major study conducted by EDHEC-Risk Institute analysing how pension funds and sponsors manage the main risks they face and how institutional constraints influence the investment strategy of sponsors and pension funds.

Samuel Sender will detail the results of an exclusive survey which finds that the institutional setup has a great influence on the risk management practices of sponsors and pension funds and that it contributes to inefficiencies in the management of risks. On the whole, accounting risk is an important risk for sponsors, and sponsor risk is the main risk for traditional defined-benefit pension funds. These two risks are often not hedged or managed because doing so is not facilitated by the institutional setup—laws, social, accounting, and prudential rules, as well as the pension insurance schemes and governance rules that define the organisation of pension plans.

For further information about the presentations, please contact

About AXA Investment Managers

AXA Investment Managers (AXA IM) is a multi-expert asset management company within the AXA Group, a global leader in financial protection and wealth management. With approximately €554 billion in assets under management, AXA IM is one of the largest European-based asset managers, employing over 2,400 people around the world and operating out of 22 countries.

It is acknowledged as a thought leader and key player in the asset management industry, owing to its innovative and entrepreneurial mindset, the recognised excellence of its research, and the quality of its investment solutions and services. AXA IM services the specific, evolving needs and expectations of a wide variety of clients, ranging from the AXA Group and its insurance companies, to distributors and institutional investors.

AXA IM’s multi-expert business model is composed of 7 separate asset class-focused areas of expertise, each of which is amongst the leaders in its respective field. It also has a Multi-Asset Client Solutions team composed of financial engineers, structured product developers, fiduciary management and asset allocation specialists who develop the most relevant, best-fit solutions for clients.

  • AXA Fixed Income
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  • AXA Structured Finance
These teams of experts are backed by the strength and scalability of shared support functions such as Research & Investment Strategy, Responsible Investment, Risk Management and Trading. And their product offerings are the building blocks with which the Investment Solutions team builds fit-for-purpose solutions that meet the highest industry standards.



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