THINK TANK DU 1ER SEPTEMBRE 2015
Jacques-André Monnier – Cronos Finance SA
- Message de Bienvenue
- Programme édition 2015
Teacher. Michael Rockinger – Prof. Ordinary, Finance Department, UNIL HEC Lausanne
- Markowitz – Problem # 1: Performance Expectations
- Markowitz – problem # 2: temporal instability
- What is Black Litterman’s contribution to modeling?
- Examples of practical problems in using Markowitz
- How to fill the gaps of Markowitz?
- Can we predict the profitability of the shares?
- What is VAR?
- What is forced VAR?
- What would be the composition of your long-term portfolio with a volatility of 5%?
Mr Dominique Favre – Director of the LPP Supervisory Authority and the foundations of Western Switzerland
- What are the legal bases for RFV?
- Do the standards apply to all pension funds?
- What are the characteristics of RFV?
- What is the role of the supervisory authority?
Mr Quentin Serex – HEC Lausanne
- Description and limitations of the flat (or empirical) method
- Description of the “Value-at-Risk” method
- What is VaR taking into account performance needs?
- What are the limits of the VaR method?
- Description of the so-called “economic reality amount” method
- Financial capital gains and RFV
- Results of the consultation of autonomous IPs
- Results of the consultation of collective IPs
- Are current RFVs sufficient for the risks involved?
- What is the resistance of the RFV with a growth of liabilities of 6%?
Mr. Yves Cuendet
- Are there arbitrations regarding the use of RFV?
Mr André Dubey – Member of the High Surveillance Commission
- What is the dispersion of the target amount of the RFV?
- Is there a correlation in the target amount of the RFV and the investment strategy?
- What exactly is the definition of RFV?
- Should we draw inspiration from the Dutch system?
- Should we define a minimum of RFV?
- Should a Swiss Solvency Test be imposed on pension funds?
- Limits of the use of VaR?
- What about the flat rate method for determining RFV?
- What to say about FINMA disaster scenarios versus Pension Funds?
- Is there a link between the RFV and the use of accounting standards?
- Is there a statistic between the target amount versus the realized amount of the RFV?
- How does the supervisory authority value the coverage rate, or the target amount of RFV?
- Is there a connection between the RFV and the partial wind up?
- Should the RFV be considered differently depending on the typology of the IP?
- Was the latent reserve method really bad?
- Conclusions of the 2015 edition