The Finance Crisis and Rescue - What Went Wrong? What Lessons Can Be Learned
UNIVERSITY OF TORONTO, 2008 - EXPERT VIEWS FROM THE ROTMAN SCHOOL OF MANAGEMENT
A reminder that pension funds must anticipate the possibility of this kind of event in how they structure their risk management function. Two specific lessons are 1. Rating agencies should not be conflicted in how they assign debt security risk ratings, and 2. Pension funds should have sufficient liquidity on hand not to be forced to sell risky assets in falling markets.
Effective Pension Design: Perception and Reality
2005 - A CHAPTER IN 'VERGEZICHTEN', A BOOK PUBLISHED ON THE OCCASION OF THE RETIREMENT OF JEAN FRIJNS OF ABP.
We must look beyond the traditional DB and DC pension designs to forge sustainable pension designs in the 21st Century. This means dealing with investment risk and longevity risk in new, innovative ways.
Beyond Portfolio Theory: The Next Frontier
CFA INSTITUTE, 2005 - A CHAPTER IN BOLD THINKING ON INVESTMENT MANAGEMENT: THE FAJ'S 60TH ANNIVERSARY ANTHOLOGY.
Traditional portfolio theory needs to be adapted to deal with not just asset risk, but also with balance sheet risk. Why? Because investments that may seem risky in asset-only space may be far less risky in asset-liability space. Traditional theory must also be adapted to be useful in dynamic rather than static contexts. As the pricing of financial assets evolves over time, so must be our capability to adjust our risk exposures.