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Finance Investment & Risk Management Conference 2008
Markets: magnifiers or mitigators of risk?
Hilton Manchester Deansgate, 15-17 June 2008
The papers below were presented to the Finance, Investment & Risk Management Conference, held at the Hilton Manchester Deansgate, from 15-17 June 2008. Any queries about the seminar should be adressed to Kate Harris, Conference Officer, at e-mail: kate.harris@actuaries.org.uk.
Please note that for this event the advance conference presentations were only made available in Adobe pdf "handout" format, displaying three slides to a page. If you require the papers in any other format, please contact the Conference Officer. If you need advice on viewing and printing the papers, please refer to the Help page.
The copyright in the content of the conference and seminar papers on this site may rest either with the authors or with the profession. Single copies may be downloaded for private study or research, but more extensive copying requires the permission of the copyright owner. Should you wish to make multiple copies of any material, please contact the Conference Department.
Monday 16 June 2008
| Time | Title and Speaker |
| 09.00 | Plenary 1 Taking account of liquidity in valuation [pdf] Seamus Creedon, KPMG LLP (Working Party Chairman) |
| 09.00 | Plenary 1 Market consistent discounting [pdf] Interim Report of the Market Consistent Valuation Working Party (Chairman: Seamus Creedon) |
| 09.00 | Plenary 1 How valuable is liquidity? Working Paper [pdf] Paul Stanworth, Merrill Lynch (Working Party Chairman) |
| 09.00 | Plenary 1 How valuable is liquidity? [pdf] Paul Stanworth, Merrill Lynch (Working Party Chairman) |
| 10.35 | Session A1 Alternative beta strategies: A new paradigm to the hedge fund industry [pdf] Dr Lars Jaeger, Partners Group |
| 10.35 | Session A1 How much of hedge fund returns are market related. The hedge fund landscape [pdf] Robert Howie, Mercer |
| 10.35 | Session A2 Economic capital models for Basel II, Pillar II [pdf] Alexander McNeil, Heriot Watt University |
| 11.20 | Session B1 Influences of regulation on property investment [pdf] Simon Jones |
| 11.20 | Session B2 Residual and ancillary risks in VA guarantees [pdf] James Maher, Natixis Corporate Solutions, and Tamsin Abbey, Deloitte |
| 12.05 | Plenary 2 - Keynote address Modern approaches to financing pension commitments [pdf] Edmund Truell, Chief Executive, Pension Corporation |
| 12.05 | Plenary 2 - Keynote address Modern approaches to financing pension commitments [pdf] Steven Lowe, Pension Corporation |
| 14.05 | Plenary 3 Catastrophe risk financing under changes in hurricane activity; and Current research at Manchester Accounting and Finance Group [pdf] Andreas Milidonis, Centre for the Analysis of Investment Risk (CAIR) and Manchester Business School (MBS) |
| 15.05 | Session C1 Coping with extreme events: Using copulas and other co-movement analysis tools in investment management and risk management [pdf] Malcolm Kemp, Threadneedle, UK |
| 16.10 | Plenary 4 Controlling the growth of your hedge. Draft Report of a Working Party on Dynamic Investment Strategies [pdf] Stuart Jarvis, Barclays Global Investors |
| 16.10 | Plenary 4 Controlling the growth of your hedge. Dynamic Investment Strategies Working Party [pdf] Stuart Jarvis, Barclays Global Investors |
| 17.10 | Holiday reading for actuaries [pdf] FIRM Organising Committee |
Tuesday 17 June 2008
| Time | Title and Speaker |
| 09.00 | Plenary 5 Faculty and Institute merger proposal [pdf] Stewart Ritchie, Faculty President |
| 09.00 | Plenary 5 Annuities and aggregate morality risk: mountains out of molehills [pdf] Martin Weale, National Institute of Economic and Social Research |
| 10.50 | Session D1 Longevity hedging via the capital markets [pdf] Guy Couglan and Lukas Steyn, J P Morgan |
| 10.50 | Session D2 SWAPS and SWAPTIONS. Interest rate risk exposures [pdf] Viktor Mirkin, Deloitte |
| 10.50 | Session D2 The tyranny of single values UK inflation [ppt] Jon Spain (Note: To view slides 35 and 36, right click on the placeholder and select 'play') |
| 10.50 | Session D4 London market pricing in the soft market [pdf] Sanjiv Chandaria, Watson Wyatt |
| 11.35 | Session E1 Dynamic ALM in finite time [pdf] Adrian Lawrence |
| 11.35 | Session E2 Commodities. A strategic asset allocation [pdf] John McManus |
| 13.50 | Session F1 The market value of pension liabilities [pdf] David Cule, Punter Southall |
| 13.50 | Session F2 Agent-based modelling [pdf] Andrew Slater, Brighton Rock; Andrew Smith, Deloitte; and Nick Silver, Independent Consultant |
| 13.50 | Session F2 Complexity economics. Application and relevance to actuarial work. A report from the Agent-Based Modelling Working Party [pdf] Andrew Slater, Brighton Rock; Andrew Smith, Deloitte; and Nick Silver, Independent Consultant (Working Party members) |
| 14.35 | Session G1 Extreme events deriving tail probabilities for economic distributions relevant to individual capital assessments [pdf] Ralph Frankland and Andrew Smith. Members of the LPEC Benchmarking Stochastic Models Working Party |
| 14.35 | Session G1 Components of yield curve movements. Illustrative worked examples [pdf] An Interim Report of the Stress Test Working Party (Chairman: Ralph Frankland) |
| 14.35 | Session G2 When theory and practice are not always the same. Earning Libor on cash is easy - isn't it? [pdf] Cormac Bradley, Towers Perrin |
| 15.40 | Plenary 6 Securitisation of non-life insurance [pdf] Graham Fulcher, Chair, GIRO 2008 Working Party |
Page updated: 2 January 2009
Contact: Web editor
Contact: Web editor