Edhec-Risk
Features
Conference - April 04, 2006

EDHEC participates in the Forum Gi institutional conference in Paris

The EDHEC Risk and Asset Management Research Centre was invited to participate in the "Forum de la Gestion Institutionnelle" (institutional investment forum), which took place in Paris on March 15th and 16th. More than 1,000 people attended the two-day conference at the Palais des Congrès.

EDHEC and EuroPerformance jointly organised the "Agora de la Performance", where the best French asset managers who had been awarded 4 and 5 stars in the EuroPerformance-EDHEC Style Rating were interviewed by journalists Franck Pauly from "La Tribune", Florent Berthat from "L'Agefi" and Jean-Charles Guyot from "Asset Management Magazine".

A wide range of French and international asset management firms were featured (Barclays AM, CPR-AM, CAAM, Natexis AM, Oddo AM, JPMorgan Asset Management, Fidelity, State Street Global Advisors, CCR Gestion, Edram, BNP PAM and Ofivalmo) in an informative and accessible format that allowed the conference delegates attending the 20-minute sessions to learn more about the investment techniques of some of the top asset managers in Europe.

The session consisted of a 10-minute wide screen analysis of the fund selected (all the funds were either 4 or 5-star). The analyses, drawn from the Style Analytics software tool, were presented by Frédéric Picard, managing director of EuroPerformance, who also explained the main criteria of the EuroPerformance-EDHEC Style Ratings.

After the presentations of the funds by EuroPerformance, the 12 managers replied to questions from financial journalists in the second 10-minute spell in order to give details on how they managed their "alpha" funds.

Also during the forum, EDHEC professor Philippe Foulquier made a presentation on the theme "Solvency II: Impacts for Institutional Investment Well Before 2010".

Even though the rules emanating from the European prudential framework Solvency II will not be applicable until 2010, their impact on institutional investment will be felt well before that date. The goal, Professor Foulquier pointed out, is to move on from a minimal requirement approach to risk (Solvency I) to the integration of all the financial and insurance risks (Solvency II) and to transfer a large part of the analysis to the companies themselves. As internal risk management models evolve and the solvency capital requirement (SCR) is fine-tuned, institutional investors will be affected in terms of both the implementation of risk control and measurement tools and also the adaptation of their business and financial policies.

Professor Foulquier analysed the impacts of Solvency II on asset allocation, asset-liability management, and risk hedging policies (structured products, derivatives, securitisation, reinsurance, etc.). He also addressed the question of how to improve and control risks and returns in the new environment that was being shaped by Solvency II.

The timetable, as the experience of Basel II has shown, will be extremely tight. Even though some points are still being debated, the main principles have largely been defined and the directive is planned for July 2007. Information systems, reporting and control procedures and risk modelling can therefore be put in place as of now.

Since the Solvency II requirements will involve several departments within the company (top management for strategic orientation and optimisation of equity allocation; the finance department for asset management, ALM, hedging policy and accounting; the HR department for skills assessment and training; the IT department for data warehousing and IT systems development; and the technical department for risk management, price setting, provisioning and actuarial analysis), it is advisable to begin the implementation phase as soon as possible.

In summing up, Professor Foulquier explained that the challenge for institutional investors, will be to improve risk management under the constraints of Solvency II while continuing to deliver satisfactory returns.

A full copy of Professor Foulquier's presentation can be found below (in French).


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