A Conference Overview
IN PRINT ARCHIVE CIR Winter 1999
|1999 Risk Management Conference|
|by Kevin Press|
The 1999 Risk Management Conference, hosted by Canadian Investment Review and the University of Toronto Joseph L. Rotman School of Management, The Bonham Centre for Finance, brought together Canada's leading pension fund management minds in an invigorating, inspiring two-day think-tank environment. Held at the extraordinary Chateau Montebello in Quebec this past August, plan sponsors and providers alike were challenged with a program of risk management case studies, discussions on portfolio construction, an in-depth look at derivatives and much more. By the end of the two days, it was clear that the subject of risk management demands significantly more study.
What follows in this month's issue of Canadian Investment Review is a collection of papers that made up the bulk of the two-day program. As impressive as this package is, there was still more that made up the event itself.
Professor John Hull and Professor Alan White, both of the University of Toronto, Bonham Centre for Finance, contributed a well-received talk entitled "Measuring Risk-VaR and Beyond." It was a particularly fitting presentation, given the high level of interest in Value at Risk (VaR) as a risk measurement tool throughout the conference.
Pension fund managers were reminded to ask the fundamental question: "How relevant is VaR to a pension fund?" Given the substantial investment involved, Hull and White warned managers that "VaR seems most useful as a risk measure in liquid markets. Invariably we end up assuming that the future will be like the past." VaR, in their view, is most useful for actively managed pension fund portfolios in liquid markets.
Professor Alexandra MacKay, also of the University of Toronto, Joseph L. Rotman School of Management, spoke on portfolio construction during day two. On the subject of portfolio insurance schemes, MacKay talked about how the popularity of these has decreased since 1987. Index-linked products are more common now, which provide their own insured payoff.
Case studies played a valuable role during both days. In addition to the Long Term Capital Management story you'll find in this issue, Rudy Dabideen of the Colleges of Applied Arts and Technology, Jim Ovenell of Ontario Teachers Pension Plan and David Heath of ScotiaBank each shared their insights on risk management at their funds. The comparisons were fascinating.
And speaking of insight, Major General Lewis MacKenzie (ret.), the conference's keynote speaker during Thursday evening's dinner, had much to share on the subject of risk management. His view was, not surprisingly, considerably more broad in scope. MacKenzie's stories of his time in the former Yugoslavia provided the two days valuable context.
Paul Halpern, Director of the University of Toronto Capital Markets Institute and one of our academic partners from the University of Toronto, provided an enlightening and succinct wrap up of each of the two days. Elsewhere on this site, Halpern gives his perspective on the conference.
Kevin Press is editor of Benefits Canada.