CRONOS FINANCE SA - Chemin de la Damataire 28 - CH - 1009 Pully - T +41 21 331 28 00 - F +41 21 331 28 01



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?

Divers questions

  • 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?

J.-A. Monnier

  • Conclusions of the 2015 edition