SPP Event: ‘We Need to Talk about VaR’: Value at Risk, Low Dependency & Resilience

SPP Event: ‘We Need to Talk about VaR’: Value at Risk, Low Dependency & Resilience

What does Value at Risk really tell us, and is it still fit for purpose?

This panel will explore how risk should be measured, when VaR works well and where it falls short, including its application in run-on, its interaction with low-dependency strategies, and the covenant perspective. The discussion will challenge how we think about risk, resilience and VaR in today’s pensions landscape.

This session will explore:

• What do we mean by V and by R?
• Is VaR fit for purpose? When does it work and when is it least effective?
• How should risk be measured, including in run-on?
• LDI and the interaction with low-dependency strategies.
• The covenant perspective.

Panel:

• Pauline McConville, Senior Consultant, XPS Group
• Chris Austin, Investment Consultant, Marsh
• Adrian Bourne, Senior Consultant, WTW
• Huw Evans, Professional Trustee and Director, BESTrustees (Chair)