Life & Pensions: Was there much internal debate when you completed your triennial review of the FRR's strategic asset allocation?
Nicolas Sobczak, chief investment officer, FRR: Yes. There was a huge debate and it was good to go through. The first line of discussion was, what is the equity risk premium (ERP) in the long run? And are we rewarded for carrying and holding risky assets in our portfolio in the long run? That means you have to question more deeply what the ERP is. Was it material, and
The week on Risk.net, October 6-12, 2017Receive this by email
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quantile, TriOptima face off in cleared swaps compression battle
- Quants stymied by lack of alternative risk premia flows data