Credit Suisse annual update on market performance

Credit Suisse has for several years now put out an annual Credit Suisse Global Investment Returns Yearbook 2013 is out now. It’s worth reading in its entirety for the insights. I don’t agree with everything there, and I certainly don’t agree with the widely held view (not among the authors) that the universe of countries included […]

SAM Risk-free Rate Workshop

The Technical Provisions Task Group and KPMG ran a workshop for industry participation on risk-free rates recently. The idea was to see whether we could improve the extent and quality of industry comment on key, controversial areas of the proposed SAM regime. Turnout was good, but not great, but the discussion and points raised were […]

Up up and away

Ok, up up, down, up, down down down, up up and away. I’ve been away furiously recruiting staff and working on QIS2 while completing a house move, so not much blogging recently. Should pick up again shortly. The other news is of course Spanish bond yields, which were heading for the stratosphere before the latest […]

Lose a Million

The Make a Million competition, as I’ve mentioned before, is an awful idea. It doesn’t promote investing or even “normal” trading, but rather massive, speculative risk-taking trading because the prize for performing well is nothing and the prize for performing best is significant. I’m continually disappointed that Moneyweb continues to partner with this distraction. As […]

What is best practice for matching annuities in Greece in 2012?

Best practice for matching non-profit annuities in most countries, certainly from a risk perspective, is still to cash flow match (or at the very least, match key durations) using government bonds. The theory is that the insurer isn’t then exposed to changes in the term structure on interest rates, only exposed to illiqudity/reinvestment risk to […]