2014 Investment Symposium

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Track Legend

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

Friday, March 14
7:00-8:00 a.m.
Registration/Continental Breakfast
8:00-9:15 a.m.

Presentation(s): View Presentation

Audio Link: Purchase Audio

Presenter(s): Maria Fiorini Ramirez; Jeffrey Jacobs

The session will provide participants with a global economic and market outlook for 2014. The experts will discuss key issues affecting the global economy. Maria Ramirez’s presentation will highlight the economic and markets outlook for the United States with a Broad summary of global trends on those fronts that will also affect the domestic Outlook – included in the presentation will be a discussion on Monetary policy and how the unwinding of the excess liquidity domestically and globally will have an impact on the markets and how investors should position themselves for it. Jeff Jacobs will review recent market dynamics and discuss the outlook that BlackRock is sharing with their clients. Changing central bank policy and improved economies may result in higher rates, higher volatility and decreased liquidity in the fixed-income marketplace for several years. In response, insurers may attempt to create laddered portfolios that will allow for maturing shorter bonds to be reinvested at higher interest rates over time. Floating-rate products may receive renewed attention for their attractiveness in rising-rate environments. As rates rise, there may be a decline in flows to lower-quality sectors as acceptable yields become available in higher-quality sectors. 

Experience Level: All

Session Coordinator(s): Mark Abbott

9:15-9:30 a.m.
Refreshment Break
9:30-10:45 a.m.

Presentation(s): View Presentation

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Moderator(s): Edwin Martin, FSA, CFA

Presenter(s): Attillio Meucci, Ph.D.

Attilio Meucci will discuss his work on identifying regimes in financial data and using this analysis in quantitative risk management. This method is called the Flexible Probabilities approach, where if we are given the historical distribution (histogram) of the returns of a portfolio, we can stress-test the portfolio under different time periods and market environments, by adjusting the relative weight of each historical return in the histogram. In addition, he introduces a precise quantitative metric for portfolio diversification, based on the "Effective Number of Bets". The bets are "Minimum Torsion Bets", a set of uncorrelated factors, optimized to closely track the factors used to allocate the portfolio. He will discuss the advantages of the Minimum-Torsion Bets over the traditional approach to diversification based on Marginal Contributions to Risk. 

Experience Level: Intermediate to Advanced

Session Coordinator(s): Edwin Martin, FSA

Presentation(s): View Presentation

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Presenter(s): Regy Heurtelou; Shaio-Tien Pan; Sheldon Lin; Guojun Gan

More and more companies are using risk/vol targeted asset alllocations in their VA portfolios. What are the key drivers? What are some of the concerns? Any lessons learned in risk management implementation?

With increased need to understand the risk and improve risk management strategies, companies are also facing challenges in efficient modeling. Is there anything we can learn?

Experience Level: All

Session Coordinator(s): Frank Zhang, FSA, MAAA

Presentation(s): View Presentation

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Credits: 75 Minutes Noncore EA

Moderator(s): Dimitry Mindlin, ASA, MAAA

Presenter(s): Evan Inglis, FSA, MAAA, FCA; Gordon Latter, FSA, MAAA; Francois Pellerin, FSA, EA, CERA

For investment practitioners working with corporate defined benefit plans, understanding the world where pension liabilities and assets meet has become critical. Most pension plans are now using at least some form of Liability Driven Investing (LDI), but as these investment strategies emerge from their early stages, what have we learned? In this session, we will examine the set-up of LDI strategies, and what we have learned in their implementation and execution. Participants in this session will learn different items to consider when using LDI strategies going forward based on recent experiences. 

Experience Level: Intermediate

Session Coordinator(s): Nathan Zahm, FSA, EA, ACA

Audio Link: Purchase Audio

Moderator(s): Bruce Fox

Presenter(s): Joe Koltisko, FSA, MAAA; Joe Koltisko; Sean Tully; John Dlubac; Scott Rofey; Andrew Raver, ASA

Dodd-Frank dramatically re shapes the Derivatives landscape. Insurance companies have spent considerable time and money preparing for this new regime and volumes are expected to climb in 2014 and beyond. What are the challenges? What are the explicit and hidden costs? What are the new risks to be managed? What new business relations will develop? What impact will this have on liquidity and market executing? Will substitutes develop? Will the changes impact volumes? How will enterprise risk mangement change? Will insurance products adjust and, if so, how? How will this impact the investment portfolio? These changes will impact both sides of the balance sheet and a broad range of function and, so should be relevant to actuaries across the organization.  

Experience Level: All

Session Coordinator(s): Bruce Fox

10:45-11:15 a.m.
Refreshment Break
11:15 a.m.-12:30 p.m.

Moderator(s): Bruce Fox

Presenter(s): Kris Dawsey; David Bianco; Charles Himmelberg; Ira Jersey

With the Federal Reserve implementing another round of QE for a third time (at an unprecedented level), concerns have arisen as to consequences of its the removal or tapering. Scaling down the program will have an impact on the economy and the financial markets. The session aims to provide insights as to this question. 

Experience Level: Beginner

Session Coordinator(s): Inigo Bengoechea

Presentation(s): View Presentation

Audio Link: Purchase Audio

Moderator(s): Attilio Meucci, Ph.D.

Presenter(s): Robert Litterman, Ph.D.

Robert Litterman will discuss highlights from his risk management career evolution - from leading investment risk management at Goldman Sach to his current roles and latest climate modeling and valuation issues.

Presentation(s): View Presentation

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Credits: 75 Minutes Noncore EA

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

Presenter(s): Marty Jaugietis, CFA; Jennifer Haid, FSA, MAAA; Brian Curran, CFA

Historically low interest rates have posed a significant challenge for insurers and defined benefit pension plans. Although rates have risen recently, they remain very low levels and these levels pose a significant challenge for define benefit pension plans. The initial large decrease in funded status of many plans forced them to consider de-risking and reducing the liability relative risk of their assets. Given the funding levels are still short of fully funded status, many have been reluctant to do so as they would be essentially lock in the underfunded level. Plans have rather adopted a de-risking glide path concept, which details a more fromulaic way of shifting the plan's allocation across time from its current allocation to more liability-matching assets as the funding level improves. This session will detail this process and implications for asset risk and return along the glide path and alternatives to consider when looking at glide path solutions. 

Experience Level: Intermediate

Session Coordinator(s): Edwin Martin, FSA

Audio Link: Purchase Audio

Moderator(s): Frank Cataldo, FSA, MAAA

Presenter(s): Ann Bryant, FSA, MAAA, EA; Jared Klyman, FSA; Daniel Finn, FCAS

Capital is becoming an increasingly important topic for insurers. This session will present some of the key considerations of economic capital, including the role of an economic scenario generator, discuss the impact externally imposed capital requirements have on investment decisions, and compare ideas for dealing with excess capital.

Experience Level: All

Session Coordinator(s): Frank Cataldo, FSA, MAAA

12:30-1:30 p.m.

Presentation(s): View Presentation

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Moderator(s): David Schraub, FSA, CERA, MAAA, AQ

Presenter(s): Frank Grossman, FSA, FCIA, MAAA; Glen Doggett, CFA

This case study session will present a thorny ethical issue at an investment department and seek feedback from the audience in possible ways out. 

Experience Level: All

Session Coordinator(s): David Schraub, FSA, CERA, MAAA, AQ

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.