Research projects in pension - Pension Risk Management: Derivatives, Fiduciary Duty and Process by Susan Mangiero

This paper provides a summary of the report, Back Testing of Investment Performance by Asset Class.

In this paper, the authors focus on determining the probability of lifetime ruin and the corresponding optimal investment strategy under a given set of assumptions. As an example, how should an individual invest in order to minimize the probability of running out of money before dying?

Slides from a session at the Investment Symposium held on April 11-12, 2011, in New York, NY. Discussion of the challenges and opportunities associated with the potential for hedging the additional volatility due to credit spread movements. Includes credit risk quantification metrics/approaches, examples of credit spread hedging strategies, performance measurements and hedge effectiveness. Impacts of statutory, tax and GAAP reporting treatment and comparisons between Life and health versus P&C accounting treatment are also discussed.

Slides from a session at the Investment Symposium held on April 11-12, 2011, in New York, NY. Discussion of techniques for developing an asset allocation strategy for an insurance company, focusing on risk return measurements with consideration for the liability cash flows and how a strategic asset allocation impacts economic capital.

Presentation at SOA Annual Meeting October 2009. Discusses developments in the investment world and provides insight into current events in the investment profession. Discussion will include: • Lessons learned from the financial crisis: black swan, leverage and liquidity, risk management • Critical issues for ERM development and implementation • Investment management issues.

This study focused primarily on the impact of market performance on a pension plan’s ability to meet its obligations.

The goal of this paper is to examine similarities between value investing and enterprise risk management (ERM) methods.

The goal of this paper is to examine similarities between value investing and enterprise risk management (ERM) methods.

The goal of this paper is to examine similarities between value investing and enterprise risk management (ERM) methods.