Risk management remains a top priority for pension plan sponsors in the post-crisis environment, but definitions of risk and volatility differ depending on which side of the Atlantic an organization is based, according to a recent survey. The Pyramis Global Defined Benefit Survey of 466 corporate and public pension plans in the U.S., Canada and […]
Managers under pressure to deliver strong returns.
As the yen skyrockets to 15-year highs, despite the confirmation of an almost zero-rate interest policy by the Bank of Japan, it’s fairly clear that currency management isn’t a predictable business for plan sponsors with international assets. Currency management was the topic of the most recent Canadian Investment Review debate. Is active hedging the answer? […]
The Volcker Rule and its legislative translation
Despite the push for alternatives, Yale was still heavily exposed to equity risk.
...equity market risk can be modelled successfully using Extreme Value Theory and Expected Shortfall.
In this week’s installment, we travel back in time to see what our risk technology, based on EVT and Expected Shortfall (ES), would have told a US equity investor in the run-up to the 1929 Crash.
The greatest concern cited by risk managers for the second half of this year is government changing the rules.
Three-part series explores how EVT can help manage risk post-crisis.
Since the global financial crisis, asset allocation isn’t what it used to be. That is the main message behind State Street’s latest report, which explains how the line between strategic and tactical asset allocation has become porous—resulting in a more holistic decision-making process regarding risk management. In Vision Focus: Rethinking Asset Allocation, State Street illustrates […]