How to price illiquid or OTC instruments at market value
It’s hard to put a value on some things (think a loyal friend or a sunny day) but financial instruments shouldn’t fall into that category.
This article takes a look at calculating pricing for illiquid or OTC instruments not quoted by market services such as Reuters or Bloomberg.
Global Association of Risk Professionals
The Global Association of Risk Professionals (GARP) has more than 85,000 members worldwide.
A chapter of the association has been active in the Netherlands for a few years now. Gert-Jan Sikking, founder and regional director of the Dutch chapter, notes that more and more risk professionals are finding their way to GARP.
Improved portfolio construction gives pension funds greater control
The economic crisis has left its mark on pension funds. The double blow of the share market slump and the fall in long-term interest rates has severely strained their funding ratios, i.e. the ratio of their assets to their liabilities.
Many have dipped below the 105% minimum prescribed by the Dutch Central Bank, DNB. By improving the constructions of their portfolios, pension funds can obtain greater control over their funding ratios, says Zanders consultant Sjoerd Blijlevens.
In pension funds
The financial position of pension funds is under pressure. Tougher rules, low cover ratios and a heightened risk perception oblige pension funds to identify their financial risks properly.
Gerbert van Grootheest, associate director at Zanders, shows how pension funds can structurally employ risk management and explains how Zanders can help.
Credit rating philosophy and framework
Financial institutions must pull out all the stops to meet the more stringent requirements for risk management.
Having a solid credit ratings and portfolio management framework is crucially important. But how consciously are they tackling the task? Do they really know how appropriate and consistent the rating models are on which they base and control risks?
And do financial institutions know what is going on behind the figures on their dashboards?