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ALM and Asset Management Solvency II Benchmarks - How to Implement an Optimal Equity Allocation within Solvency II 13 December, 2011 - Paris / 14 December, 2011 - London
EDHEC-Risk Institute, with the support of Russell Investments within the “Solvency II Benchmarks” research chair, has been designing new benchmarks for European insurance companies that are representative of a dynamic allocation strategy to equities.

The aim of the initiative is to enable all small- or medium-sized European insurance companies which do not have a full internal risk mitigation model to be able to avail of an objective academic reference in order to manage the risk of their equity investments. The benchmarks, based on risk-controlled investing and life-cycle investing techniques, will allow investors to respect a maximum drawdown or maximum loss limit for specific horizons.

This solution will appeal to insurers who are concerned either to reduce their tier 1 capital charge for equity as part of pillar 1, or to improve risk management within the framework of pillar 2, so that capital consumption will ultimately correspond to the reality of the company’s risks, beyond the planned regulatory risk levels.

At special presentations to be held in Paris on December 13 and in London on December 14, Professor Lionel Martellini, Scientific Director at EDHEC-Risk Institute, will be providing details on the solution developed by the EDHEC-Risk researchers, and Pascal Duval, CEO EMEA, Russell Investments will be explaining how the benchmarks can be implemented in practice.



Noël Amenc, Director, EDHEC-Risk Institute
Pascal Duval, CEO EMEA, Russell Investments

Presentation: Solvency II Benchmarks - How to Implement an Optimal Equity Allocation within Solvency II
Lionel Martellini, Scientific Director, EDHEC-Risk Institute

Presentation: Implementing Dynamic Equity Allocation
Pascal Duval, CEO EMEA, Russell Investments
Accompanied by Michaël Sfez, Managing Director for France, Russell Investments at the Paris presentation, and by David Rae, Portfolio Manager, Russell Implementation Services at the London presentation

Question & Answer Session

Drinks Reception
Event Details
  When   Between 13/12/2011 05:00 PM and 13/12/2011 07:30 PM
Where   Paris: Hôtel George V / London: 10 Fleet Place, Ludgate, London EC4M 7RB
Contact Details
  Name   Séverine Anjubault
E-mail   severine.anjubault@edhec-risk.com
Phone   +33 493 187 863
  Paris programme
  London programme