2013 Investment Symposium

  • External Forces & Industry Knowledge
  • Professional values
  • Results-Oriented Solutions
  • Strategic Insight and Integration
  • Technical Skills & Analytical Problem Solving

The MP4 audio recordings synchronized with the presenter slides are available to purchase individually or for the entire meeting through the SOA store. The MP4 downloads provide excellent training, are eligible for fulfillment of your CPD requirement and allow you to view sessions you may have missed. View the sessions online anytime or download the MP4 files to your mobile device for portable listening.

  
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Track Legend 

  • R - Retirement / Pension
  • P - Portfolio Management
  • Q - Quantitative, Risk Management and ALM
  • E - Economics, Accounting & Regulations

Friday, March 15
8:00 - 9:00 a.m.
G3 Market Overview and Strategy icon pdficon audio

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Competency: Strategic Insight and Integration

Moderator(s): Mark C. Abbott, PRM

Presenter(s): John V. Malvey, CFA

Noted Wall Street economist and strategist Jack Malvey will discuss our current macroeconomic environment and the future opportunities for major asset classes.

At the conclusion of the session, you’ll be able to describe the macroeconomic challenges we face, evaluate investment opportunities and apply new information to investment strategy.

9:15 - 10:30 a.m.
R5 A Fresh Look at the Equity Risk Premium icon pdficon audio

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Competency: Strategic Insight and Integration

Moderator(s): Edwin A. Martin, FSA, CFA, MAAA

Presenter(s): Anthony Bova; Brett Hammond, Ph.D; Victor Modugno, FSA, FCA, MAAA

A decade of poor equity returns and extremely low yield on fixed income investments has led to a re-examination of traditional portfolio construction. The reward for investing in equities is under scrutiny as investors look to increase their prospective return while managing risk. As financial research has progressed, work in this area has also led to an examination of the reward for investing in different types of risky asset classes. The SOA and CFA Institute have both completed research projects surveying the evidence on the equity risk premium, and you will get to hear the authors' take on the rewards for investing in equity and other risky asset classes.

At the conclusion of the session, you’ll be able to develop estimates of the equity risk premium, design better economic models, describe issues encountered in estimating equity returns.

P5 ETFs: Are They Taking Over the World? icon pdficon audio

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Competency: External Forces & Industry Knowledge

Moderator(s): Aaron Liebhaber

Presenter(s): Dodd Kittsley; Allan Mark Levin, FSA,CFA, FIA, FRM, MAAA, MBA; Steve Mickle; Luke Oliver

The session will cover the breadth of the ETF market and the growing trend of exploring the multiple purposes and uses. The long-term implications of the growth of the ETF markets in general will be discussed, as well as the degree to which institutions are shifting from direct Fixed Income investments to ETF-based solution. Also covered will be developments in Exchange Traded Products over the last year, as well as the Pros and Cons of ETFs vs. direct investing in the underlying assets.

At the conclusion of the session, you’ll be able to better understand: i) the current trend in investing via ETFs ii) the long-term implications of the growth in the ETF market iii) Pros and Cons of ETFs vs. direct investments.

Q5 Credit Risk for Economic Capital Purposes icon pdficon audio

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Competency: Strategic Insight and Integration

Moderator(s): Michael C. Schmitz, FCAS, MAAA

Presenter(s): Jean-Philippe Boucher, Ph.D.; Mathieu Boudreault, FSA, ACIA, Ph.D.; Li Cheng, FSA, CFA, FRM

Credit risk features prominently within insurance companies’ enterprise wide assessment of economic capital. This session will explore the holistic practices in the assessment of credit risk for insurers arising from all areas of the enterprise including fixed income portfolios, structured credits, commercial real estate investments, derivative counterparties, reinsurers, customers and even on the liability side in the case of some insurers such as mortgage guaranty, financial guaranty, and trade credit insurers.

At the conclusion of the session, you’ll be able to to identify holistic practices of insurance company credit risk analysis within their broader ERM framework.

E5 U.S. Economic Conditions and the Housing/Mortgage Market icon pdficon audio

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Competency: External Forces & Industry Knowledge

Moderator(s): Jonathan Glowacki, FSA, MAAA

Presenter(s): David Berson, Ph.D.

Changing economic conditions have a significant impact on asset investment performance. Investors must keep abreast of changes in economic conditions and the resulting implications on the risk and return of their portfolios. This session will critically evaluate the dynamic conditions affecting the economy and its impact on the supply and demand for residential mortgage-backed securities—including house prices, mortgage rates, monetary and fiscal policy, and the jobs market.

At the conclusion of the session, you’ll be able to identify the economic conditions affecting the housing and mortgage market and determine the impact on mortgage backed securities valuation and risk.

10:45 a.m. - Noon
R6 Pension Investing Strategies: A Look at New Ideas icon pdficon audio

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Competency: Results-Oriented Solutions

Moderator(s): Nathan Christopher Zahm, FSA, ACA, EA

Presenter(s): R. Evan Inglis, FSA, CFA, EA, FCA, MAAA, ; Daniel J. Ransenberg, Jr., FSA

Numerous ‘perfect storms’ for pension plans over the past decade have taught us the importance of understanding the sources of risk related to pension plans. As awareness to investment and liability risks have increased, the demand for how to construct an efficient pension investment portfolio and then measure its success has greatly increased. In this session we look at using a risk factor approach to develop a liability drive investment portfolio and how to view the anticipated and actual success of pension portfolios.

P6 The "New Normal": Historical, Current and Future Relative Value icon pdficon audio

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Competency: External Forces & Industry Knowledge

Moderator(s): Frank J. Cataldo, FSA, CFA, FLMI, MAAA

Presenter(s): Chris Myers; Hal Warren Pedersen, ASA, Ph.D.; Mark M. Yu, FSA, MAAA

U.S. Treasuries have offered rock-bottom yields for the past couple of years. With support from the Federal Reserve, the market for high quality mortgage-backed securities has recovered, but bad news from Europe continues to affect the performance of many traditionally higher-return/higher risk investments. With yields so low, there has been a great deal of discussion about whether rates going forward will revert back to historical levels, will total returns be similar to historical total returns, or will future rates and returns instead stay materially lower. This session will review historical return and volatility levels across asset classes, with a focus on fixed income investments. It will also explore the economic, political and other factors that may cause future return expectations to differ from historical averages, and what type of expected returns, both near term and longer term, may be consistent with the current worldwide economic and political situation.

At the conclusion of the session, you’ll be able to compare the current level and volatility of rates and asset class returns to historical.

Q6 ALM in Low Interest Rate Environment icon pdficon audio

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Competency: Technical Skills & Analytical Problem Solving

Moderator(s): Frank Zhang, FSA, CFA, FRM, MAAA, PRM

Presenter(s): Charles L. Gilbert, FSA, CERA, CFA, FCIA; Paul J. Heffernan, FSA, MAAA, Ph.D.

Persistent low interest rate and investment yields have been challenging for life insurance general account business. This is especially true for long dated liabilities such as LTC or structured settlements, where adequate long term investment and proper ALM can be difficult. Companies face difficult choices and uncertainty with the potential disintermediation risk and investment losses if rates rise. Or they’ll face the slow bleeding and spread compression if the rates stay low. How are the companies dealing with this? What should be considered? Does accounting play any role?

At the conclusion of the session, you’ll be able to better understand the challenges facing insurance companies in low interest rate environment, identify trade-offs among different product and investment strategies, and improve asset liability management practices.

12:15 - 2:00 p.m.
G4 Risk Professionalism Panel Discussion icon audio

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Competency: Professional values

Moderator(s): Mark C. Abbott, PRM

Presenter(s): Aaron Brown; David X. Li, ASA, Ph.D.; Barry Schachter, Ph.D.

This session on Risk Professionalism will explore what it takes to be a professional quantitative/risk manager. Experienced and competent practitioners will discuss how they practice, collaborate, deal with or minimize conflict and ethics. In addition, there will be a discussion of analytical and statistical techniques, jump starting a risk group and how experienced managers have worked to create, nurture and establish the risk function over time.

At the conclusion of the session, you’ll be able to:

  • Apply theoretical risk concepts in practice
  • Identify how experienced risk managers have dealt with real life challenges
  • Design a risk function

Back

Legend

Communication

Demonstrating the listening, writing and speaking skills required to effectively address diverse technical and nontechnical audiences in both formal and informal settings.

Professional Values

Adhering to standards of professional conduct and practice where all business interactions are based on a foundation of integrity, honesty and impartiality.

External Forces & Industry Knowledge

Identifying and incorporating the implications of economic, social, regulatory, geo-political and business changes into the design and delivery of actuarial solutions.

Leadership

Initiating, innovating, inspiring, creating or otherwise acting to influence others regardless of level or role toward a common goal.

Relationship Management & Interpersonal Collaboration

Creating mutually beneficial relationships and work processes toward a common goal.

Technical Skills & Analytical Problem Solving

Applying the actuarial knowledge, skills and judgment required to provide value-added services.

Strategic Insight & Integration

Anticipating trends and strategically aligning actuarial practice with broader organizational business goals.

Results-Oriented Solutions

Providing effective problem solving that addresses relevant interests and needs.