• Innovations and Reviews in Risk Management for Sovereign Institutions
• 63 min
  1. Stochastic optimization and dynamics: what they are and why they are important for risk management in sovereign institutions 1

  • Prof. Dr. Jérôme L. Kreuser
• 61 min
  2. Stochastic optimization and dynamics: what they are and why they are important for risk management in sovereign institutions 2

  • Prof. Dr. Jérôme L. Kreuser
• 85 min
  3. Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs 1

  • Prof. William Ziemba
• 52 min
  4. Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs 2

  • Prof. William Ziemba
• 50 min
  5. Applications of stochastic optimization to sovereign institutions 1

  • Prof. Dr. Jérôme L. Kreuser
• 54 min
  6. Applications of stochastic optimization to sovereign institutions 2

  • Prof. Dr. Jérôme L. Kreuser
• 51 min
  7. Risk management techniques in emerging markets

  • Mr. George R. Hoguet
• Stress Testing for Sovereign Institutions
• 70 min
  8. Modern approaches to stress testing central banks and financial systems: lessons learned from the crisis

  • Dr. Alexey Lobanov
• Risk Management at the Government Level
• 60 min
  9. Sovereign credit risk assessment: from traditional indicators to the contingent claim approach

  • Dr. Adam Kobor
• Risk Management for Central Banks
• 29 min
  10. Central bank asset allocation

  • Dr. Stephen Fisher
• 34 min
  11. Combating intervention risk

  • Dr. Stephen Fisher
• Risk Management for Ministries of Finance
• 38 min
  12. Models for risk aggregation and sensitivity analysis: an application to bank economic capital

  • Dr. Michael Jacobs
• 39 min
  13. Quantitative measurement and management of liquidity risk in a banking context

  • Dr. Michael Jacobs
• Risk Management for National Pension Funds
• 79 min
  14. A dynamic stochastic pension fund model 1

  • Prof. William Ziemba
• 55 min
  15. A dynamic stochastic pension fund model 2

  • Prof. William Ziemba
• 52 min
  16. The Swiss occupational pension system

  • Dr. Werner Nussbaum

Printable Handouts

PDF

Navigable Slide Index

1. Introduction
2. The Siemens-Austria pension fund model (1)
3. The Siemens-Austria pension fund model (2)
4. The pension fund situation in Europe
5. US stocks, 1802 to 2006
6. Asset structure of European pension funds
7. The trend is up but it's quite bumpy
8. Many asset classes
9. What is InnoALM?
10. Features of InnoALM
11. Technical features and what they include
12. Asset growth
13. Convex penalties
14. Description of the pension fund
15. Factors that led to InnoALM development (1)
16. Factors that led to InnoALM development (2)
17. InnoALM project team
18. Innovest InnoALM model
19. National investment restrictions on pension plans
20. Formulating the InnoALM model
21. Wealth accumulates over time
22. Budget constraints
23. Portfolio weights
24. Wealth targets
25. The quadratic function
26. Storing money during good years
27. The pension plan's objective function
28. Implementation of the model
29. The parameter lambda in the objective function
30. From a quadratic function to a linear approximation
31. Implementation, output and sample results
32. Elements of InnoALM
33. Example (1)
34. Example (2)
35. Scenario dependent correlations matrices
36. Deriving the scenario dependent correlations
37. A distinct pattern across the three regimes
38. Regression equations relating asset correlations
39. A small scenario tree
40. Single scenarios
41. Correlated random returns simulation (1)
42. Correlated random returns simulation (2)
43. Correlated random returns simulation (3)
44. Points to remember
45. The return of equities over bonds 1982-1999
46. US equity and government bond returns
47. Statistical properties of asset returns
48. Optimal portfolios for seven cases
49. Optimal initial asset weights at stage 1 by case
50. A distinct pattern emerges
51. TMC
52. Summary
53. Effect of the risk premium
54. Optimal asset weights at stage 1
55. The effects of state dependent correlations
56. Results explanation
57. Does this work out of sample?
58. Cumulative monthly returns for different strategies
59. Conclusions and final remarks
60. A quote by Konrad Kontriner

Topics Covered

• Portfolio theory and practice
• Effect of paramater errors
• Convex risk measures
• Scenario optimization
• Asset liability management
• Pension funds
• Retirement
• Siemens Austria pension fund

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on November 5, 2013