Tag Archives: VAR
TPR and FCA, VAR for pension goalscoring!
I’m off to hear Nausicaa Delfas at the Professional Pensions Live event in the City. She’s kicking off early (9 am) but I’ll be in the front row and hope she’ll be explaining more about this venture on the … Continue reading
End of the road for LDI?
Thanks to those brave souls who braved “Southern”, the tube strike and filthy weather to attend yesterday’s lunch which asked “has LDI had its day?”. One answer to that question was clear, I learnt that the top performing asset class … Continue reading
Posted in pensions
Tagged Bank underground, Blog, Bonds, Investment, Japan, LDI, Liability Driven Investment, opportunity cost, speculation, Value at risk, VAR, yield
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Happy Christmas – VAR is over.
The conventional approach to pension scheme asset management has been a powerful instrument of mis–education. Consultants and trustees are taught about matching assets to liabilities, the use of standard deviation and the Brinson axiom. They may be told something about … Continue reading