Building a Tool for Strategic Asset Allocation at a Swiss Insurance Company

One aspect of Helvetia Asset Management currently revamping its processes is to build a quantitative tool to support Strategic Asset Allocation. We have implemented an SAA model suggested by Black/Litterman (1992) and tailored it to our needs. The implementation path was not clear from the outset and it took a few detours to arrive at a productive tool. This includes, for example, specifying a range of parameters of the Black/Litterman model, modelling illiquid asset classes, like Real Estate, Private Equity, or incorporating insurance-specific constraints, like Solvency II and Swiss Solvency Test. Typical Use Cases are balance sheet optimisation, adding new Asset Classes (e.g., High Yield or Swiss Mortgages) to an existing portfolio or suggesting an allocation for a new investment strategy. This talk summarises our experience building an SAA tool and shares a few insights of our journey from the beginnings to a production-ready tool.

Download presentation