"Pensions, Bonds & Inflation"
Grande Bretagne Hotel, Athens, Greece
Papers
Key Note Address & Positioning of the Other Presentations
Greg Duffee, (Haas School of Business)
Var Models for Generating Scenarios in AlM: Do’s and Don’t’s
Hens Steehouwer (Ortec)
Inflation Risk & International Asset Returns
Gerard Moerman (Aegon Asset Management and RSM Erasmus University) and Mathijs Van Dijk* (RSM Erasmus University)
Pension Fund Investment & the Valuation of liabilities Under Conditional Indexation
Frank De Jong (University of Tilburg)
Dynamic Asset Allocation with Annuity Risk
Theo Nijman*, Bas Werker and Ralph Koijen (University of Tilburg)
Valuation, Liquidity & Risk in Government Bond Markets
Carlo Favero (Universita Bocconi, IGIER and CEPR), Marco Pagano (Universita di Napoli Fedrico II, CSEF & CEPR) and Ernst-Ludwig Von Thadden* (Universität Mannheim & CEPR)
Correlation Risk
Andrea Buraschi, Imperial College
DTS (Duration Times Spread) - A New Measure of Spread Exposure in Credit Portfolios
Arik Ben Dor (Lehman Brothers), Lev Dynkin (Lehman Brothers), Jay Hyman (Lehman Brothers), Patrick Houweling (Robeco Asset Management), Erik van Leeuwen (Robeco Asset Management) and Olaf Penninga (Robeco Asset Management)