R33: PM For Institutions

Question 1

What are the differences between Norway, Endowment and Canada approaches?

Answer 1

Norway: public, passive, cheap, internal, limited opp to add value
Endowment: alts, active, expensive, external
Canada: alts, active, expensive, internal

Question 2

Discuss the stakeholders, liabilities, investment time horizons, liquidity needs of each

Answer 2

Look at notes.

Question 3

Spending policy: what are the cobs of the constant growth rule abs market value rule?

Answer 3

Constant growth - spending doesn’t adjust based on asset values.

Market value - pro-cyclical.

Question 4

What’s the effect of small losses in the value of assets on banks?

Answer 4

Negative effect on value of equity (due to leverage factor) and on ability to meet claims.

Question 5

What are the common characteristics?

Answer 5

.

Question 6

What are the risk tolerances of DB, sovereign, endowment, banks/insurers

Answer 6

.

Question 7

What are the risk considerations for DB schemes?

Answer 7

.