Document library

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Author:
Peter Allen
Source:
General Insurance Convention 2000

ART [Alternative risk transfer]

Alternative Risk Transfer 27 October 2000 Peter Allen Head of Alternative Risk Transfer Lloyd’s What is ART? ART is an umbrella term for a range of products, other than conventional annual insurance or reinsurance, which handle financial risk. ... read more >>

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Author:
Stephen R Walker
Source:
General Insurance Convention 2000

Emerging oportunities in the credit derivative market [summary only]

2000 GENERAL INSURANCE CONVENTION 25-28 OCTOBER EMERGING OPPORTUNITIES IN THE CREDIT DERIVATIVE MARKET Presenter Stephen Walker 175 Workshop Emerging Opportunities in the Credit Derivative Market, (A,W) Stephen Walker - GIRO 2000 Biramingham ... read more >>

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Author:
Neil Record
Source:
Investment Conference 2000

Currency management - Do hedged international benchmarks make sense if sterling is secularly weak?

Record Treasury Management Ltd 1 RECORD TREASURY MANAGEMENT Currency Management - Do hedged international benchmarks make sense if Sterling is secularly weak ? Neil Record 27 June 2000 Record Treasury Management Ltd 2 Defining currency risk Unhedged ... read more >>

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Author:
Paul Thornton
Source:
Investment Conference 2000

Actuaries and Investment (Slides)

Actuaries and Investment Paul Thornton President, Institute of Actuaries Investment Conference 26 June 2000 Vision and Values Actuaries in 2020 will work in a much wider range of businesses than at present. The actuarial training will be highly ... read more >>

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Author:
David Kingston
Source:
Investment Conference 2000

Investment strategy of the UK actuarial profession (slides)

Investment Strategy of the UK Actuarial Profession David Kingston Investment Strategy of the UK Actuarial Profession Strategy review, Summer 1999 Conclusions Without a major reemphasis by the actuarial profession on the management of assets we shall: ... read more >>

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Author:
Jeroen van Bezooyen; Shyam Mehta
Source:
Investment Conference 2000

Interest rate sensitive insurance products (slides)

Finance for Actuaries Interest Rate Sensitive Insurance Products 2000 Investment Conference Jeroen van Bezooyen Shyam Mehta Finance for Actuaries Finance for Actuaries * Agenda Product Description Valuation Methodology Interest Rate Model Example Hedging ... read more >>

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Author:
Applications of Style Working Party\; Malcolm Kemp\; Mark Richardson\; Colin Wilson
Source:
Investment Conference 2000

Investment manager style analysis

This paper describes investment manager "style" analysis in the UK context. It considers methods for identifying what a manager's style actually is, whether UK managers typically exhibit strong style differentiation, and whether different styles exhibit ... read more >>

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Author:
Quantitative Techniques Working Party; Dan Jelicic; Mike Brooks; Steve Holt; Simon Jagger; Malcolm Kemp; Paul Lavin; Colin Wilson
Source:
Investment Conference 2000

Demystifying active quant

This paper aims to remove certain misconceptions that hinder the broader acceptance and understanding of quant techniques. There is no universally accepted definition of what constitutes active quant. The paper focuses on managing equity portfolios and ... read more >>

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Author:
Joanna Munro\; Dan Jelicic
Source:
Investment Conference 2000

The relative importance of industry and country influences

The relative importance of industry and country influences on stock returns has long been a subject of debate, despite consistent anecdotal evidence in support of increasing global integration. In this paper we summarise the literature on the subject and ... read more >>

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Author:
Dan Jelicic\; Joanna Munro
Source:
Investment Conference 2000

Market neutral investing

This paper aims to introduce the concept of market-neutral investing and discusses the similarities as well as differences between the market neutral investing style and the traditional long only investment style. We demonstrate the additional flexibility ... read more >>

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Author:
Applications of Style Working Party Malcolm Kemp Mark Richardson Colin Wilson
Source:
Investment Conference 2000

Investment manager style analysis

This paper describes investment manager "style" analysis in the UK context. It considers methods for identifying what a manager's style actually is, whether UK managers typically exhibit strong style differentiation, and whether different styles exhibit ... read more >>

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Author:
Andrew Smith
Source:
Investment Conference 2000

Information structures

1 INFORMATION STRUCTURES Prepared for the 2000 Investment Conference Andrew Smith of the Applications of Financial Theory Working Party andrew.d.smith@bacon-woodrow.com Abstract: This paper briefly ... read more >>

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Author:
Patrick Lee; David Wilkie
Source:
Investment Conference 2000

A comparison of stochastic asset models

1 A COMPARISON OF STOCHASTIC ASSET MODELS P J LEE AND A D WILKIE, UNITED KINGDOM ABSTRACT A number of actuarial models designed for simulating future economic and investment conditions have been published. We discuss eight such models developed in ... read more >>

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Author:
Andrew Smith
Source:
Investment Conference 2000

Introduction to convenience yields

1 INTRODUCTION TO CONVENIENCE YIELDS Prepared for the 2000 Investment Conference Andrew Smith of the Applications of Financial Theory Working Party Abstract This paper seeks to explain the concept of convenience ... read more >>

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Author:
Graeme Charters; Hugh Cutler; Peter Rains; Bobby Riddaway
Source:
Investment Conference 2000

Can retail investors exploit techniques used by investment consultants to financial institutions in the selection of investment managers?

1 INVESTMENT MANAGER SELECTION Working Party: Graeme Charters, Hugh Cutler, Peter Rains, Bobby Riddaway Can retail investors exploit techniques used by investment consultants to financial institutions in the selection of investment managers? “ A Mission ... read more >>

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Author:
Emmanuel Acar
Source:
Investment Conference 2000

Incentive fees, rewards for risk or return?

1 Incentive Fees, Rewards for Risk or Return ? Emmanuel Acar Investment Conference, Faculty and Institute of Actuaries, Hatfield Heath, June 2000 Abstract This paper attempts to quantify how management fees and performance fees could be setup ... read more >>

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Author:
Andrew Smith
Source:
Investment Conference 2000

Investment strategy and valuation of with-profits products

This brief note outlines an option pricing approach to valuing stakes in a with-profits fund. We depart from previous work in this area by not making direct use of Black and Scholes formula. Instead of trying to approximate the benefit structure with the ... read more >>

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Author:
Andrew T Adams
Source:
Investment Conference 2000

Why are investment trust discounts so volatile?

Discount volatility is generally an important component of total risk for investment trusts but there is considerable cross-sectional variation in the magnitude of this discount volatility. These are interesting aspects of the closed-end fund puzzle, which ... read more >>

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Author:
Jon Exley; Shyam Mehta
Source:
Investment Conference 2000

Asset & liability modelling for pension funds (Slides)

Asset & Liability Modelling for Pension Funds Jon Exley & Shyam Mehta June 2000 Asset & Liability Modelling for Pension Funds Observations on current practice ALM in other financial applications Objectives Implications of Value ... read more >>

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Author:
Emmanuel Acar and Robert Teffel
Source:
Investment Conference 2000

Stop-loss and investment returns

Stop-loss and Investment Returns Emmanuel Acar & Robert Toffel Draft May 2000 Investment Conference, Faculty and Institute of Actuaries, Hatfield Heath, June 2000 Abstract This paper investigates how stop-losses affect the returns ... read more >>