Hedging and investments

Practice area leaders: Paul Stanworth and Mike Claffey

Terms of reference

To monitor the range and effectiveness of hedging and investment options available to institutions as they seek to implement market risk management policies. The scope will include both the selection and construction of underlying investment options to be covered under the host policy in addition to the risk management of the rider guarantee.

Research Agenda

• Current Review of the effectiveness of Dynamic Hedging solutions during the Q3/Q4 market dislocations with specific consideration as to basis risk, correlation, convexity, currency, and interest rate risks. Additionally, the research will consider the implications for longer dated hedging arrangements in the light of the general downgrading of the Investment Banking community, including specific considerations and observations form the recent failures in the City.
• Deliverable Power Point presentation(s) for delivery at the FIERM and Life Conventions in 2009.
• Currently Seeking Researchers: YES

If you would like to participate in this group, please contact us at: migs@actuaries.org.uk.