The following additional resources will give you a different viewpoint on topics presented in SA6
You are not expected to have read all of the items but you should familiarise yourself with current investment issues and the general market background facing institutional investors in the 18 months preceding the examination session, together with the solutions (and background) being debated by the various stakeholders.
The Institute and Faculty of Actuaries (IFoA) is responsible for the setting of ethical actuarial standards. The Financial Reporting Council (FRC) is responsible for the setting of technical actuarial standards. The guidance listed here is referred to is the SA6 Core Reading but does not necessarily represent the current position.
Technical actuarial standards can be found on the FRC's website
Download additional helpful guidance material about the TASs.
- The Actuaries' Code
- Actuarial Profession Regulatory framework
- Actuarial Profession Constitutional framework
- Actuarial Professional Standards Directory
- Information and Assistance Notes (IANs)
- Actuarial Profession standards decision tree
- International Actuarial Standards of Practice (IASPs)
- Institute and Faculty of Actuaries as Designated Professional Body
- DPB Handbook
- Authorised Professional Firms (APFs) (FSA outline of DPB-regulated firms)
- Financial Services Authority: FSA Handbook
- (including) Principles for Business.
The Panel on Takeovers and Mergers
Economist Intelligence Unit: Country reports (Background for SA6 Unit 7)
The Economist Intelligence Unit provides leading country analysis and forecasts. IFoA members get access to detailed economic and political forecasts compiled by a wide network of on the ground contributors and highly skilled analysts on behalf of the EIU. Reports are available for the following countries:
The reports are for the latest month only. Reports are for non-commercial educational use by members of the Institute and Faculty of Actuaries. The terms and conditions of supply are at http://www.eiu.com/public/terms.aspx This arrangement is managed by the library service, please email email@example.com with any enquiries.
The Economist: The World in 2017 (Background for SA6 Units 7, 13)
Sources on recent world and regional trends affecting investment The Economist's annual survey for the year ahead offers points of interest and background to support study of investment issues, its outlook from last year can be considered in retrospect too. The Economist now makes this annual print magazine available as an ‘App’ for purchasers, but selected articles of the latest edition are available at http://www.theworldin.com/
Presented research meeting papers, Staple Inn Actuarial Society (SIAS) papers and journal articles
- An analysis of unit labour costs. Fitzgerald, C. (background reading for SA6 Unit 4) The Actuary (2002) December: 29. (Request of firstname.lastname@example.org)
- An analysis of stock market volatility. Adams, A.; Armitage, S.; Fitzgerald, A. Annals of Actuarial Science (2012) 6(1): 153-170.
- Asset-liability management for individual households. Dempster, M.A.H, and Medova, E.A. 2010. (background reading for SA6 Unit 3) British Actuarial Journal (2011) 16(1): 405-439. (DOI: http://dx.doi.org/10.1017/S135732171100016X)
- Asset allocation: management style and performance evaluation. Sharpe, W.F. (background reading for SA6 Unit 15) Journal of Portfolio Management (1992) Winter: 7-19. (DOI: http://dx.doi.org/10.3905/jpm.1992.409394)
- Behavioural finance and investment. McLean, C. SIAS, 2012 [slide presentation]
- Bond asset management - an overview. Sweeting, P. J.; Bagnall, D. J.; Cutler, H. P. B. et al. SIAS, 2003. 55 pages.
- The concept of investment efficiency and its application to investment management structures. Hodgson, T. M.. et al. (referenced reading for SA6 Unit 3 and Unit 16) British Actuarial Journal (2000) 6(3): 451-545. (DOI: http://dx.doi.org/10.1017/S1357321700001884)
- "Does your hedge do what it says on the tin?" Hedging strategies for insurers: effectiveness in recent conditions and regulatory treatment. Eason, S.; Diffey, W.; Evans, R.; Pulcher, P.; Wilkins, T. SIAS, 2010. 61 pages.
- Entity-wide risk management for pension funds. Kemp, M. H. D.; Patel, C. C. British Actuarial Journal (2012) 17(2): 331-394; 395-412.
- Financial management of the UK Pensions Protection Fund. Charmaille, P. et al. (background reading for SA6 Unit 22) British Actuarial Journal (2013) 18(2): 345-393. (DOI: http://dx.doi.org/10.1017/S135732171200044X)
- Financial repression - what does it mean for savers and investors? Fulcher, P. et al. (background reading for SA6 Unit 17) British Actuarial Journal 19(3): 775-771 (DOI: http://dx.doi.org/10.1017/S1357321714000154)
- Global asset liability management. Dempster, M. A.; Germano, M.; Medova, E. A. et al. British Actuarial Journal (2003) 9(1): 137-216. (DOI: http://dx.doi.org/10.1017/s1357321700004153)
- Hedge funds. Caslin, J. J. British Actuarial Journal (2004) 10(3): 441-541.
- The information ratio. Goodwin, T. H. Financial Analysts Journal (1998) 54(4) July/August: 34-43. (DOI: http://dx.doi.org/10.2469/faj.v54.n4.2196) You must be logged in to download this article
- Lease terms, option pricing and the financial characteristics of property. Adams, A. T; Booth, P. M.; MacGregor, B. D. British Actuarial Journal (2003) 9(3): 619-635. (DOI: http://dx.doi.org/10.1017/S1357321700004293)
- Liquidity: essence, risk, institutions, markets and regulation: a report of the Liquidity Working Party. Con Keating, Jon Hatchett, Andrew Smith, James Walton and Tong Zhao. British Actuarial Journal (2016) 21(1): 5-74. DOI: http://dx.doi.org/10.1017/S1357321715000100
- Making actuaries less human: lessons from behavioural finance. Taylor, N. SIAS, 2000. 32 pages.
- Meeting defined benefit pension obligations. Hatchett, J.; Clacher, I.; Hurd, M. British Actuarial Journal (2013) 18(2): 271-307.
- Modelling and managing risk. Sweeting, P. J. British Actuarial Journal (2007) 13(3): 579-636.
- Modelling copulas: an overview. Dorey, M.; Joubert, P. SIAS, 2005. 27 pages.
- Monetary policy, asset prices, and financial institutions. Booth, P. (Background reading for SA6 Unit 4) Annals of Actuarial Science (2013) 8(1): 9-41. (DOI: http://dx.doi.org/10.1017/S1748499513000109)
- Retail Distribution Review - an introduction - part 1, part 2 Kissoon, A.; Ealham, G. SIAS, 2013. (background reading for SA6 Unit 17)
- Risk budgeting in pension investment. Urwin, R.C.; Breban, S.J.; Hodgson, T.M. and Hunt, A. British Actuarial Journal (2001) 7(3): 319-364.
- Seeking diversification through efficient portfolio construction using cash-based and derivative instruments. Jones, M.W. (background reading for SA6 Unit 10) British Actuarial Journal (2014) 19(3): 468-498. (DOI: http://dx.doi.org/10.1017/S1357321713000366)
- Systemic risk in financial services. Besar, D.; Booth, P.; Chan K.K.; Milne, A.K.L.; Pickles, J. British Actuarial Journal (2011) 16(2): 195-300.
- Transforming consumer information. Ritchie, A.; Corrigan, J.; Graham, S.; Hague, A.; Higham, A.; Holt, J.; Mowbray, P.; Robinson, H. British Actuarial Journal (2013) 18(3): 546-603. (DOI: http://dx.doi.org/10.1017/S135732171300007X)
- Deflation: making sure "It" doesn't happen here. Bernanke, Ben S. (background reading for SA6 Unit 4) Federal Reserve Board, Novmber 2002.
- Central bank talk and monetary policy. Bernanke, Ben S. (background reading for SA6 Unit 4) Federal Reserve Board, October 2004.
- The logic on monetary policy. Bernanke, Ben S. (background reading for SA6 Unit 4) Federal Reserve Board, December 2004.
- The real effects of debt. Cecchetti, S.G.; Mohanty, M.S.; Zampolli, F. (background reading for SA6 Unit 2) Bank of International Settlements Working Papers, no. 352, September 2011.
- Making the most of sovereign wealth funds. Iseux, P.-E. (background reading for SA6 Unit 2) World Finance, 13 September, 2013.
Papers shown above with British Actuarial Journal reference have links to their original sessional meeting paper document on this website. Members who login to the IFoA website can then access the final published article along with reported contributions from the discussion in the British Actuarial Journal.
Some of the books below are not available on-line but may be ordered on loan from: email@example.com.
- An Essay on the Principle of Population. Malthus, T. 1798. (background reading for SA6 Core Unit 4). (Library of Economics and Liberty online reprint)
- Credit derivatives and synthetic structures: a guide to instruments and applications. Tavakoli, Janet M. Wiley, 2001. 2nd ed. ISBN: 9780471412663. (Borrow from libraries)
- A Farewell to Alms: a brief economic history of the world. Clark, Gregory. Princeton University Press, 2007. ISBN 978-0691141282. (Background reading for SA6 Unit 4) (Added for SA6 Core Reading 2015). (Borrow from libraries)
- Fixed-income derivatives made simple. What a trustee needs to know. National Association of Pension Funds. NAPF, 2005. 16 pages.
- Foreign exchange risk [in: Financial institutions management: a modern perspective]. Saunders, A. 7th ed. McGraw-Hill, 2011. xxii, 884 pages. ISBN: 9780071289559 (Borrow from libraries)
- Hedge funds and funds of hedge funds made simple. What a trustee needs to know. National Association of Pension Funds. NAPF, 2005. 20 pages.
- Investments. Bodie, Z.; Kane, A.; Marcus, A. J. 9th ed. McGraw-Hill, 2011. 1020, 14, 20 pages. ISBN: 9780071289146. (Borrow from libraries) Chapter: Applied portfolio management, section 'Style Analysis' - background reading for SA6 Unit 15)
- Options, futures and other derivatives. Hull, J. C. 8th ed. Pearson, 2014. xxi, 847 pages. ISBN: 9780273759072. (Buy from eShop | Borrow from libraries) (background reading for SA6 Core Reading 2015, Unit 10)
- Swaps made simple. What a trustee needs to know. National Association of Pension Funds. NAPF, 2005. 16 pages.
Listed below are selected papers of most relevance to Units in SA6 Core Reading with others suggested for background information:
2001 Finance and Investment Conference. Faculty of Actuaries and Institute of Actuaries. 2001
- The practicalities of budget managing and monitoring investment risk for pension funds. Mike Brooks, David Bowie et al.
2005 Finance and Investment Conference. Faculty of Actuaries and Institute of Actuaries. 2006
- Liability-driven benchmarks for UK defined benefit schemes Alvar Chambers et al.
2006 Finance, Investment and Risk Management Conference. Faculty of Actuaries and Institute of Actuaries. 2006
Most relevant papers include:
- Non-traditional (unconstrained) benchmarks [slide presentation] Bobby Riddaway
2008 Finance, Investment and Risk Management Conference. Faculty of Actuaries and Institute of Actuaries, 2008
Click here and scroll down to Finance, Investment and Risk conference. Most relevant papers include:
- Earning LIBOR is easy isn't it? When theory and practice are not always the same [slide presentation] Cormac Bradley
2011 Risk and Investment Conference. Institute and Faculty of Actuaries. 2011
Click here and scroll down to Risk and Investment conference. Most relevant papers include:
- Risk appetite and risk limits: - how to ensure top-down appetite is consistent with bottom-up limits [slide presentation] Paul Davies (background)
- Longevity risk: asset or liability? Stephen Richards
- Alternative assets: practical implementation and how they performed in the crisis [slide presentation] Ian Cotigas
- Liquidity and investment strategy [slide presentation] Andrew Smith (background)
2012 Risk and Investment Conference. Institute and Faculty of Actuaries. 2012
Click here and scroll down to Risk and Investment conference.
- OTC derivatives - central clearing, discounting and other issues [slide presentation] Alvar Chambers, Emily Penn and Dick Rae
- Is there a place in the UK mass market for a guaranteed pensions product? [slide presentation] Scott Eason and Gillian Foroughi
- Relative merits of synthetic versus cash instruments: efficient portfolio construction using cash-based and derivative instruments [slide presentation] Malcom Jones et al.
- Inflation, real returns and inflation hedging [slide presentation] Norman Peard
- Unlocking the secrets of the swaptions market [slide presentation] Shalin Bhagwan and Mark Greenwood
2013 Risk and Investment Conference. Institute and Faculty of Actuaries. 2013
Click here and scroll down to Risk and Investment conference. Most relevant papers include:
- Designing a risk-led investment strategy at the Pensions Protection Fund Martin Clarke
- Risk appetite in practice Mark Fawcett
- How to blend 'qualitative' with 'quantitative': global macro economic themes in strategic asset allocation Alun Marriott, Mark Sinclair-McGarvie
- Role of liquidity in economics, risk and investment James Watson, Andrew Smith
2013 Momentum Conference. Institute and Faculty of Actuaries. 2013
- Limits to Growth: research presented for: A Jones et al., 'Resource Constraints: sharing a finite world: the evidence and the scenarios for the future' Tracey Zalk
2014 Risk and Investment Conference. Institute and Faculty of Actuaries. 2014
Click here and scroll down to Risk and Investment conference. Most relevant papers include:
- Infrastructure - debt and equity investments for UK insurers Etienne Comon, Valerie Stephane
- Non-traditional asset investing with annuity portfolios: doing it in practice Alec Innes, Stephen Birch
- The trend towards "non-traditional" long-dated investments by life insurers - ['Insurers as long-term lenders'] Gareth Mee, Eugene Dimitriou; Non-Traditional Assets Working Party
- Why bond yields are where they are and expectations for the future - [Bond Yields Working Party presentation] Daniel Banks, Guy Whitby-Smith
2015 Risk and Investment Conference. Institute and Faculty of Actuaries, 2015
- Infrastructure – a sensible investment? Christopher Lewin, Barry White; Infrastructure Working Party
- Putting the style into Smart Beta. Dick Rae, Erik Rubingh
- LDI for DB pension funds: a beginner’s guide to Liability Driven Investment. Martin De Vree
- Multi assets, absolute return funds for insurers Russ Bowdrey
- What is happening to interest rates? Andrew D. Smith
- Annals of Actuarial Science
- Bank of England Quarterly Bulletin
(Bank of England: http://www.bankofengland.co.uk/publications/quarterlybulletin/index.htm)
- Journal of Financial and Quantitative Analysis
(University of Washington: http://depts.washington.edu/jfqa/)
- Journal of Financial Economics
(Elsevier: http://www.elsevier.com/locate/jfec). Actuarial Profession libraries hold vols. 35-46 (1994-1997).
- Journal of Risk and Insurance (Wiley Online library)
- Journal of Risk Management in Financial Institutions (METAPRESS)
- Risk Management and Insurance Review (Wiley Online library).
- The Economist
(The Economist Newspaper Ltd: http://www.economist.com/)
- Financial Times
- Investors Chronicle
- Professional Investor
(CFA Society of the UK: http://www.cfauk.org/shop/index.html). Actuarial Profession libraries hold last 5 years' issues.
- Bank of England
- Debt Management Office
- HM Treasury
- London Stock Exchange
|Asset share||The retrospective accumulation of past premiums, less expenses and the cost of cover, at the actual rate of return on the assets.|
|Attribution analysis||Splitting a fund manager's performance into stock selection and sector selection (and sometimes into more sub-divisions of these)|
|Basis trading (cash and carry trade)||An arbitrage position typically comprising a long cash position together with a short position in its respective futures contract, whereby the cash price plus the cost of carry of the underlying position is lower than the futures price. By convention, buying the basis is to buy cash bonds and sell futures, and selling the basis is to sell cash bonds and buy futures.|
|Bear spread (vertical spread)||An option strategy combining the purchase and sale of two puts (bear put spread) or two calls (bear call spread) with different strikes on the same underlying asset.|
|Bull spread||Where the investor takes a bullish (optimistic) view a similar option strategy is called a bull spread using two puts (bull put spread) or two calls (bull call spread)|
|Butterfly||An option strategy involving the purchase of one put (or call), the sale of two puts (or calls) at a higher exercise price, and purchasing one put (or call) at an equally higher price.|
A calendar spread is created by selling a call option with a certain exercise price and buying a longer maturity call option with the same exercise price.
Alternatively a put option can be sold while simultaneously buying a longer maturity put with the same exercise price.
|Cash equivalent||The value of benefits accrued by a member of a pension scheme. Used for cash equivalent transfer values and pension sharing orders|
|Diagonal spread||A diagonal spread involves buying one option and selling another (both calls or both puts) where both the maturity and the exercise prices are different (cf bull, bear and calendar spreads)|
|Group of 7 (G7)||International finance ministers from seven industrialised nations who attempt to influence economic and monetary policies through co-ordinated actions. (Since 2002, the Group of 8 (G8) as Russia joined the original seven members)|
|Health and care insurance||Critical illness, income protection, long-term care, major medical and private medical insurances, plus health cash plans.|
|Pecuniary reward||Payment in the form of money|
|Prime||A classification of borrowers, rates or holdings in the lending market that are considered to be of high quality and the most creditworthy.|
|Program trade||A procedure where trades are automatically generated by a computer and transmitted to the trading floor of an exchange.|
Research and Development. The pursuit and adoption of new technology and technological change leading to process innovation and product development.
|Securities fund||The term applied by the FSA to an authorised unit trust fund which consists of 'transferable' securities such as equities, bonds, debentures, loan stock, government and public sector loan stock and bonds.|
|Sponsoring employer||The particular participating employer in a pension scheme in which is vested special powers or duties in relation to such matters as the appointment of trustees, payments of contributions, amendments to scheme rules and winding-up.|
|Spread trade||The purchase of one futures contract and the simultaneous sale of another in order to take advantage of relative price changes. Examples include buying one futures contract and selling another futures contract of the same underlying asset but different delivery month; buying a given delivery month of one futures contract and selling the same delivery month of a different, but related, futures contract.|
|Straddle||An option strategy involving one call and one put with the same strike price and same expiry date.|
|Strangle||An option strategy involving one call and one put with different strike levels but with the same expiry date.|
|Strap||A strap consists of a long position in two calls and one put with the same exercise price and expiry date (cf strip)|
|Strip||A combination of two puts and a call with the same exercise price.|
|Sub-prime||A type of loan which is offered at a rate above prime to individuals who do not qualify for prime-rate loans (including those who may have had a history of prior loan delinquency or default)|
|Takeover||Where one business acquires another. If this does not involve mutual agreement between the two parties, the takeover might be viewed as "hostile".|
|Technical provisions||The actuary's assessment, on scheme-specific funding assumptions determined by the trustees, of the amount required to meet the scheme's liabilities as they fall due. The amount that an insurance company would have to pay in order to transfer its obligations immediately to another insurance company. Valuation of liabilities (and assets) on market consistent principles.|
|Vertical spread||See bear spread.|
|Warrant fund||The term applied by the FSA to an authorised unit trust fund which may consist of warrants as well as transferable securities.|
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