Highlights in Investments Seminar

Session 1:

History and Evolution of Scenario Generators

Speaker: Parit Jakhria, Prudential

Some UK insurers have been using real-world economic scenarios for more than thirty years. We interview experienced practitioners, investigate popular 'modelling regimes' and trace historical model evolution in the UK and abroad. This provides information on potential future catalysts for change and factors influencing development of real world multi-period economic scenario generators in future. Additionally, we provide some updated work by the Extreme Events working party on topical areas e.g. interest rate modelling philosophy.           

Session 2:

Extreme Risks: What are they and why do we care?

Speakers: Keith Goodby and Ashwin Belur, Willis Towers Watson

Extreme risks are potential events that are very unlikely to occur but could have a significant impact on economic growth and asset returns, should they happen. We take a look at:

• Whether we are systemically prone to underestimating the probability of tail events given the number of “VaR99.5” events experienced in recent times and why

• What some of the more extreme events are that we should be concerned about, thinking well beyond VaR99.5 

• A robust risk management framework for considering these very unlikely but high impact events

Session 3:

QE and the Inflation Dogma; Does it Work and Does it Make Sense?

Speaker: Richard Silveira, Deloitte

The BoE’s mandate is explicit: 2% CPI inflation. As QE enters its 9th year, measuring its effectiveness is simple. QE has increased the CPI and succeeded. But this masks a deeper and more troubling question: does the mandate make sense? The economy cannot be captured in a single metric. The sledgehammer approach of the BoE sidesteps serious questions for the economy and investors: what else did QE bring us and when/if/how will it unwind? Asset price inflation, portfolio diversification, aggregate demand and fiscal vs. monetary policies are areas we explore to answer these and the natural follow-up: is there a better way?

Session 4:

Climate Asset Risk - it's all About Governance Now

Speaker: Mike Clark, Ario Advisory

TCFD’s recommendations are published. The direction of travel for climate finance is even clearer. Specific recommendations for pension funds require their advisers to up their game too. Legal opinion highlights the risks trustees - and their advisers - face with regards to fiduciary duty. The EU’s High-level Expert Group on Sustainable Finance is working hard. What does TPR's investment guidance mean for pension schemes? This session will provide a financial system-level review of how decision-making structures are evolving after the Paris Agreement came into effect last year.