Alex Lipton argues new quantitative methods are needed to solve the looming pension crisis
Views on risks and accounting treatment of arbitrage repack differ across the Street
No margin concentration limits for pension funds, but intragroup rules threaten US equivalence
The papers in this issue focus on modeling dependence via copulas and on identifying independent risk factors for better portfolio risk attribution. An extension of a classical portfolio selection problem and an approach to compare mutual funds are also...
This paper explores how a defined-contribution pension fund optimally distributes wealth between a defaultable bond, a stock and a bank account, given that a salary is a stochastic process.
Buy-siders need to plug changes into VAR, say risk managers
Public sector institutions must learn from best practice in the private sector
Outdated systems and lax controls expose pension plans to 'operational failure'
European Parliament and UK regulator push for carve-out, but industry unimpressed
Sponsored feature: Prudential Retirement
New rules could push buy-siders towards synthetic strategies
Comprehensive solution to the challenges pension funds will face under central clearing remains out of reach
CCP talking to pension funds about becoming direct repo counterparty
Bank of England support seen as 'only' option to ease collateral fears
Clients complain of six-fold hike after rates volatility hits dealers' par swap hedges
Japanese government pension will invest in hedge funds in three years, predicts FoHF
Funds could be subject to CVA charge for period of weeks or months
Investors see opportunities as utilities divest underperforming assets
Common ground hard to find as dealers try to cut leverage exposure
State Street says managed accounts rise due to stripped-back, cut-price service
Regulator overlooking wider customer benefits, says PwC's Steve Folkard
A popular approach in US and Europe, now Australian schemes are taking note
Low returns from traditional investments are driving Australia's pension industry to look more at alternative assets
Clearing test has to be met for CVA safe harbour to apply, lawyers say