Chicago Johannesburg London Portland Princeton San Francisco Stamford Tokyo Toronto WashingtonVancouver BC Event 21 January 2010: The Future of Market Risk Management
Vancouver BC Event Notice:
”The Future of Market Risk Management”
A presentation of informative results and analysis from MSCI Barra’s survey of over 30 of the world’s largest pension plans and asset managers, including CalPERS, CalSTRS, USS (Universities Superannuation Scheme), AllianceBernstein, F&C Investments, Credit Suisse Asset Management and Pioneer Investments.
Speaker: Kelly Chang, Vice President in MSCI Barra
Applied Research group
Date/Time: Thursday, January 21, 2008 at 4PM to 530PM
Location: The Vancouver Club, 915 West Hastings Street
Admission: Admission is Free and is open to members and non-members. Appetizers and a Cash Bar will be available.
RSVP: Please RSVP by email to qwafafew-vancouver@googlegroups.com
Presentation Summary:
The Future of Market Risk Management is one of the most in-depth surveys of institutional investors' current and future risk management practices.
MSCI Barra interviewed over 30 of the world’s largest pension plans and asset managers with a combined AUM of over USD 4 trillion, including CalPERS, CalSTRS, USS (Universities Superannuation Scheme), AllianceBernstein, F&C Investments, Credit Suisse Asset Management and Pioneer Investments.
While the survey revealed that 73% of pension plans and 26% of asset managers who took part in the survey do not currently run stress tests, the majority of participants said they would put more focus on stress testing in the future, recognizing this as the critical component for integrating qualitative and quantitative information, enterprise risk management and liquidity and counterparty risk analysis. One asset manager acknowledged that stress testing should be like "crash-testing for cars."
The survey covers a wide range of topics, providing a revealing view on current risk management practices from some of the largest and most influential players in the market today, as well as insight into key trends for the future of market risk management.
Other key findings include:
§ Less than one-fifth of corporate pension plans surveyed have a Chief Risk Officer function, compared to 80% of surveyed public plans and 70% of surveyed asset managers.
§ Only 40% of asset managers and 18% of pension funds surveyed run stress tests by shocking factors within a factor model. The most common stress tests were macroeconomic shocks (including shocks to currencies, commodities, interest rates, etc.) and market-wide asset class shocks.
§ Though all asset managers surveyed invest in multiple asset classes, only a few use the same risk model across asset classes.
§ The majority of respondents surveyed called for enterprise-wide risk management tools across all asset classes.
§ Currently, private real estate, timber, foreign bonds, hedge funds, convertible bonds, structured products, certain derivatives and asset-backed securities are the key assets that survey participants indicated are generally not covered by their risk systems. All pension plans surveyed intend to add coverage for hedge funds, private equity real estate and private equity. As one pension fund put it: “If all private equity commitments were called at the same time, we would have to significantly reduce our global public equity investment.”
The following views were consistent amongst all participants:
§ The impact of liquidity events must be better understood.
§ Funding liquidity issues such as capital calls and redemptions need to be better assessed.
§ Market liquidity issues such as the pricing of illiquid assets need to be assessed.
§ Institutions should have some limits on counterparty risk.
§ Risk across the organization should be assessed - which requires a consistent framework across all investments and products.
About the speaker:
Kelly Chang is Vice President in MSCI Barra’s Applied Research group and is based in Berkeley. Kelly received her BA from the University of California, Los Angeles, and MA and PhD from Stanford University. She was Assistant Professor at the University of Wisconsin-Madison and a Robert Wood Johnson Scholar in Health Policy at the University of Michigan, Ann Arbor. She has published articles and a book on monetary policy in the US and Europe. Prior to joining MSCI Barra, Kelly was Senior Economist at Greylock McKinnon Associates, an economics consulting firm based in Cambridge, MA, where she spent significant time directly consulting clients. Before her move to Cambridge, Kelly worked for UBS as Chief Currency Strategist and Senior Economist in Zurich, Switzerland.
If you would like to join the organizing committee for QWAFAFEW Vancouver please contact Dion Roseman at
droseman AT cclgroup DOT com
”The Future of Market Risk Management”
A presentation of informative results and analysis from MSCI Barra’s survey of over 30 of the world’s largest pension plans and asset managers, including CalPERS, CalSTRS, USS (Universities Superannuation Scheme), AllianceBernstein, F&C Investments, Credit Suisse Asset Management and Pioneer Investments.
Speaker: Kelly Chang, Vice President in MSCI Barra
Applied Research group
Date/Time: Thursday, January 21, 2008 at 4PM to 530PM
Location: The Vancouver Club, 915 West Hastings Street
Admission: Admission is Free and is open to members and non-members. Appetizers and a Cash Bar will be available.
RSVP: Please RSVP by email to qwafafew-vancouver@googlegroups.com
Presentation Summary:
The Future of Market Risk Management is one of the most in-depth surveys of institutional investors' current and future risk management practices.
MSCI Barra interviewed over 30 of the world’s largest pension plans and asset managers with a combined AUM of over USD 4 trillion, including CalPERS, CalSTRS, USS (Universities Superannuation Scheme), AllianceBernstein, F&C Investments, Credit Suisse Asset Management and Pioneer Investments.
While the survey revealed that 73% of pension plans and 26% of asset managers who took part in the survey do not currently run stress tests, the majority of participants said they would put more focus on stress testing in the future, recognizing this as the critical component for integrating qualitative and quantitative information, enterprise risk management and liquidity and counterparty risk analysis. One asset manager acknowledged that stress testing should be like "crash-testing for cars."
The survey covers a wide range of topics, providing a revealing view on current risk management practices from some of the largest and most influential players in the market today, as well as insight into key trends for the future of market risk management.
Other key findings include:
§ Less than one-fifth of corporate pension plans surveyed have a Chief Risk Officer function, compared to 80% of surveyed public plans and 70% of surveyed asset managers.
§ Only 40% of asset managers and 18% of pension funds surveyed run stress tests by shocking factors within a factor model. The most common stress tests were macroeconomic shocks (including shocks to currencies, commodities, interest rates, etc.) and market-wide asset class shocks.
§ Though all asset managers surveyed invest in multiple asset classes, only a few use the same risk model across asset classes.
§ The majority of respondents surveyed called for enterprise-wide risk management tools across all asset classes.
§ Currently, private real estate, timber, foreign bonds, hedge funds, convertible bonds, structured products, certain derivatives and asset-backed securities are the key assets that survey participants indicated are generally not covered by their risk systems. All pension plans surveyed intend to add coverage for hedge funds, private equity real estate and private equity. As one pension fund put it: “If all private equity commitments were called at the same time, we would have to significantly reduce our global public equity investment.”
The following views were consistent amongst all participants:
§ The impact of liquidity events must be better understood.
§ Funding liquidity issues such as capital calls and redemptions need to be better assessed.
§ Market liquidity issues such as the pricing of illiquid assets need to be assessed.
§ Institutions should have some limits on counterparty risk.
§ Risk across the organization should be assessed - which requires a consistent framework across all investments and products.
About the speaker:
Kelly Chang is Vice President in MSCI Barra’s Applied Research group and is based in Berkeley. Kelly received her BA from the University of California, Los Angeles, and MA and PhD from Stanford University. She was Assistant Professor at the University of Wisconsin-Madison and a Robert Wood Johnson Scholar in Health Policy at the University of Michigan, Ann Arbor. She has published articles and a book on monetary policy in the US and Europe. Prior to joining MSCI Barra, Kelly was Senior Economist at Greylock McKinnon Associates, an economics consulting firm based in Cambridge, MA, where she spent significant time directly consulting clients. Before her move to Cambridge, Kelly worked for UBS as Chief Currency Strategist and Senior Economist in Zurich, Switzerland.
If you would like to join the organizing committee for QWAFAFEW Vancouver please contact Dion Roseman at
droseman AT cclgroup DOT com
