Patrick Kelliher
Director at Crystal Risk Consulting
Articles written by Patrick Kelliher
White Swans and the Moron Risk Premium
Interest rates and gilt yields are critical drivers of pension-scheme reserving and bulk-annuity pricing. However, many UK pension schemes self-insure when it comes to economic risks, with Liability Driven Investment (LDI) a common approach. This makes the turmoil in the UK Gilts market in Autumn 2022 of particular interest. Daily movements of 10-20 standard deviations arose as the