By the end of this programme, participants will:
- Understand how to integrate risk management frameworks with pension fund investment strategies.
- Learn to evaluate and select appropriate investment vehicles (equities, bonds, private equity, etc.) based on risk-return profiles.
- Develop skills in managing liquidity risks and ensuring sufficient cash flow for pension fund obligations.
- Gain practical knowledge of asset-liability matching (ALM) strategies to optimize returns while managing risk.
- Understand the role of environmental, social, and governance (ESG) factors in pension fund investment strategies.
- Learn how to assess and monitor the performance of external asset managers and service providers involved in pension fund management.
DAY 1
Risk Management
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- The need for risk management
- The evolution of banking risk:
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- Old Basel Accord
- New Basel Accord
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- Basel II: Objectives, structure, and pillars
- Challenges of the old and new Accords
- Case studies
- Lessons from financial disasters
- G-30 report
- Best practices in developing risk management, environment, appetite, and policies
DAY 2
Operational Risk
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- Defining operational risk
- The importance of operational risk
- Approaches to operational risk
- Measuring operational risk: Top-down versus bottom-up approaches
- Managing operational risk: Expected versus unexpected losses
- Controlling operational risk
- Funding operational risk
- Case studies
DAY 3
Credit and Market Risk
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- The nature of credit risk:
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- Sources of risk
- Credit risk as a short option
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- Credit rating systems
- Credit exposure: Bonds versus derivatives, expected and worst exposure
- Netting arrangements
- Measuring and managing credit risk
- Portfolio credit risk models
- Case studies
- Modern risk measures: Value-at-risk (VAR)
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- What is VAR?
- VAR methods
- Monte Carlo simulation method
DAY 4
Stress Testing & Understanding the Market
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- Why stress testing?
- Stress-testing model parameters
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- Managing stress tests
- Backtesting
- The UK institutional market and current developments in the UK pensions industry
- Understanding institutional clients and business development:
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- Structure of corporate pension schemes
- The role of plan sponsors, trustees, and investment managers
- Reviewing and selecting new asset managers – RFPs, FRAG 21 reports, and the ‘beauty parade’
- Case studies
DAY 5
Financial Dynamics & Regulations
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- Understanding the financials:
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- Investment fees, revenues, costs, and profitability
- Impact of new FSA rules on soft commission and unbundling
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- Investment fund management process
- Understanding investment processes and risk management dealing:
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- Settlement and custody
- Investment operations processes
- Performance measurement and reporting
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- Understanding regulations:
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- Current FSA priorities, including authorisation of funds, market timing, systems, and controls
