INTRODUCTION

Title

Modelling & Managing Corporate Liabilities and Portfolios – 21st Century Techniques

Seminar Organisers

The Hamilton Mathematics Institute, TrinityCollegeDublin,and the Society of Actuaries in Ireland

Date

Thursday Morning 27 October 2005

Venue

St. Helen’s Radisson Hotel, Stillorgan, Co. Dublin

Fee

€ 250 per delegate

€ 125 for students

Reservations

Please make reservations with the Society of Actuaries in Ireland. Brochure and on-line reservation facility on

Events & Papers

Who should attend?

  • Asset Managers, Credit Officers and Risk Managers from the main financial institutions operating in Ireland
  • Bond and Fund Managers
  • Major Pension Fund Advisers, Actuaries working with life and general insurance companies as well as those specialising in pensions funds
  • Other financial professionals & academics

SEMINAR PROGRAMME

08:30 / Registration and coffee
09:00 / Introduction
Colm Fagan
President
Society of Actuaries in Ireland
9.10 / Opening Address
Professor Siddartha Sen
Professor of Mathematics
TrinityCollegeDublin
09.20 / Interest Rate Models: An Overview
Prof Andrew Cairns,
Head of Dept of Actuarial Mathematics and Statistics
Heriot-Watt University, Scotland
9.55 / Modelling and Managing Bank Capital
post BaselII
Dr Paul Quigley,
AIB Group Risk
10:30 / Coffee Break
11.00 / 21st Century Techniques in Asset – Liability Management
Dennis Van Ek
Mercer Europe
11:35 / The Barriers to Excellence in Managing Portfolios of Credit Media
John Andrew McQuown,
Principal, Diversified Credit Investments
12.10 / Questions from the Floor
Chaired by Pat Ryan
Chairman, Finance & Investment Committee
Society of Actuaries in Ireland
12:30 / Summary and Close
12.45 / Buffet Lunch

RESERVATION FORM

The Hamilton Mathematics Institute, TrinityCollegeDublin, and the Society of Actuaries in Ireland

HALF DAY MORNING SEMINAR

Thursday Morning 27 October 2005

St. Helen’s Radisson Hotel,

Stillorgan,

Co. Dublin

Please reserve ______places for

NAME:

NAME:

NAME:______

ORGANISATION:

ADDRESS:

TELEPHONE:

E-MAIL:

FEE: €250 per person

€125 for students

Please enclose cheque payable to the Society of Actuaries in

Ireland in the amount of €______

or Visa/MasterCard details:

Card No.: ______/ ______/______/______

Expiry Date: Security code:

Card Holder:

Alternatively you can book andpay online at & Papers

Click on the burgundy coloured title of the seminar and follow the link for the reservation form.

BIOGRAPHICAL DETAILS

Andrew Cairns
Andrew Cairns is Professor of Financial Mathematics at

Heriot-WattUniversity, Edinburgh. He is well-known both

in the UK and internationallyfor his research in financial

risk management for pension plans, both definedbenefit

anddefined contribution. Much of this research focuses

on the measurementof the risks borne by plan members and

on how these risks can be assessedand controlled in an

optimal. These interests in theassessment of financial risk

have led to further researchinthe field offinancial

mathematics. Within this fieldhe has developed anew

modelfor bond-price dynamics for use in the measurement

andmanagementoflong-terminterest-rate risks in pensions

and life insurance.

Professor Cairns has recently completed a textbook "Interest

Rate Models: An Introduction" published by Princeton University Press. He is an activemember of the UK and international actuarial profession in both research and

education. Since 1996 he has been an editor of the leadinginternationalactuarial journal ASTIN Bulletin

Paul Quigley
Dr. Paul Quigley is an Executive in AIBGroup with
responsibility for Risk Measurement and Integration,
reporting directly to the Group Chief Risk Officer.
His role includes the development of the new operating
model for risk management to meet the requirements of
Basel II. He heads a team that has driven the adoption of
changes in credit grading and scoring methodology and
is centrally involved in development work on the Internal
Capital Adequacy Assessment Model required under
Pillar 2 of the Basel Accord.
Prior to joining AIB in 1999, he was senior lecturer
in Finance at Dublin City University and Programme
Directorof the MSc. in Investment and Treasury.
He previously worked in the Irish Revenue Commissioners
and in the Department of Finance.

Dr. Quigley holds a PhD in Finance from the University
of Birmingham along with BBS and MSc. degrees from
DublinCityUniversity. He was also a Fulbright scholar
at the University of Illinois at Urbana – Champaign.

BIOGRAPHICAL DETAILS

Dennis Van Ek
Dennis is a senior consultant in Mercer Investment

Consulting’s Amstelveen office in Holland. He advises

institutional investors, mainly pension funds, on all

aspects of asset-liability management and has been

particularly active of late in advising around use of

interest rate hedging strategies.

Dennis joined Mercer in 1995. He graduated from the

University of Twente in 1995 with a Masters Degree

in Applied Mathematics, completed the Chartered

Financial Analyst (CFA) program in 2001 and became

an actuary (AAG) in 2002. He is a member of both the

Association of Investment Management and Research

and of the Dutch Society of Actuaries.

John Andrew McQuown

John Andrew McQuown is co-founder and Principal of

Diversified Credit Investments (DCI). DCI creates

diversified commingled portfolios of corporate credit risk

for institutional investors, without leverage andwith interest

rate risk neutralised.He has been a leader in the practical

application of the finance theories of Markowitz, Sharpe,

Fama, etc in a wide range of commercial enterprises.

This has included:Director of Management Sciences, Wells

Fargo Bank, San Francisco; first equity index funds for

institutional investors, later retail investors; first Chairman of

Wells Fargo Investment Advisors (now Barclays Global

Investors); evolution of payments mechanism, including Master Card; first application of Black-Scholes-Merton options pricing theoryto the valuation of corporate credit risk

He is co-founder of the following businesses:

-Diversified Corporate Loans: pooling of bank

originated corporate credit

-Dimensional Fund Advisors: “second” generation“passive” equity funds

-KMV: corporate credit risk measurement &

management technology sold to major financial institutions globally

-Mortgage Information Corp. (now Loan Performance): credit and prepayment risk in consumer mortgages

He has a BS in Mechanical Engineering, Northwestern

University and anMBA, HarvardBusinessSchool.

Investment Seminar

Modelling and Managing Corporate Liabilities and Portfolios

21st Century Techniques

Jointly organised by:

Hamilton Mathematics Institute,

TrinityCollegeDublin

&

The Society of Actuaries in Ireland

Half Day Seminar

Thursday morning

27 October 2005

St. Helen’s Radisson Hotel

Stillorgan

Co. Dublin