Workshops

 A1: Construction of efficient stock market indices

This session will give insights into the challenges when aiming to construct efficient benchmarks and will introduce methods that have been proposed recently and that allow us to build efficient benchmarks based on a robust methodology.

Speaker: Felix Goltz, Edhec

A2: Reconciling different risk measures working party

There is a broad consensus that financial firms should measure the risks to which they are exposed. However, there is great variation between industry sectors and geographic regions in relation to how risks are ranked. Ability to meet liabilities as they fall due leads logically to a run-off approach, while a focus on possible intervention leads to a one-year projection or instant stress test approaches. Some approaches focus on a failure probability while others consider the shortfall in a ruin scenario. This working party considers how these methods can be reconciled, with benchmark calculations for key product types under different measurement approaches. Applications include the construction of management information for multinational firms with diverse reported measures for different products or territories. Our work is also of use to firms seeking to reconcile their internal measures to regulatory requirements.

Speaker: Andrew Smith, Deloitte

A3: Optimal structure and governance of ESGs in a Solvency II world

This session covers the practicalities and challenges of embedding ESG modelling within a (large) organisation, for a large number of uses and functions ranging from profit and capital within Actuarial to strategic asset allocation/investment strategy within investment management and product development/bulk deals in the pricing department.
It also discusses the wider regulatory and governance issues brought forth by the advent of Solvency II.

Speakers: Parit Jakhria, Prudential and Elliot Varnell, KPMG

D1: Recent academic evidence on the performance of the fund management industry

The vast majority of the academic literature on fund manager performance suggests that active managers cannot generate alpha, cannot time the market, and instead poor performance tends to persist.  In this workshop Andrew Clare will review some of this evidence and will:
Argue that the extant literature on this subject may be underestimating the number of fund managers that can outperform the market; and
Explore the related evidence on simple investment strategies that do seem to produce alpha over long periods of time.

Speaker: Professor Andrew Clare, CASS Business School

D2: Risk and compensation

German banks (especially the public sector Landesbanken) have been some of the hardest hit by the financial crisis. In response, the authorities have introduced various laws and regulations, based on international guidelines, requiring financial institutions to manage risk and ensure that the compensation of “risk-takers” and managers is aligned with the actual risks being taken.  Key issues have been how to define and measure “risk” and how long a period should an employee’s pay package be at risk of possible claw-back.  This highly topical session examines why these changes have been introduced and how firms are responding.

Speakers: Peter Devlin, Deloitte Consulting, Germany and
FSA speaker to be confirmed

D3: Risk adjusted performance measurement working party

Performance measurement within financial firms typically takes the form of some measurement of profit expressed as a percentage of committed capital resources.  The working party contrasts various approaches for risk adjustments, both to the numerator and the denominator. These include the use of CAPM and replicating portfolio approaches as examples of methodologies that rely on a separation of market and non-market risk. We also look at non-risk adjustments which may bias performance measures. These include allowances for frictional costs, illiquidity costs and premiums, risk and service margins as well as equity risk premiums within liability measurement, leading to higher initial liabilities and a subsequent source of profit.

Speaker: Andrew Smith, Deloitte