BIS – World Bank – Bank of Canada – Banca d’Italia
30 November – 1 December | Ottawa, Canada
At the time of the last Public Investors Conference, the global economy was experiencing a broad-based cyclical upturn, with many observers expecting a renormalisation of policy across advanced economy central banks in a context of sustained global growth. However, many investors have since revised downwards their expectations for global growth, inflation and interest rates. Exit from unconventional monetary policy has become a more distant prospect for some central banks, while others have pivoted from a tightening to an easing bias, leaving less room to combat a sustained downturn in the future. Trade tensions and political risks have yet to abate, with uncertainties prevailing in both Europe and Asia.
For public investors (e.g. central banks, public pension and sovereign funds) – who typically operate with explicit or implicit liability considerations – the context has proven even more challenging. Many have had to update their projections to account for steep growth in their liabilities, which has outpaced their ability to earn returns given their need to emphasize liquidity and safety. And, even for those who have successfully updated their modelling frameworks, identifying an efficient or optimal portfolio in this unprecedented environment remains challenging.
In this context, during 30 November and 1 December 2020, the Eighth Public Investors Conference will aim to explore a variety of relevant issues, with particular emphasis on the following:
- New methodologies for capital market assumptions (expected risks, returns and correlations) for relevant asset classes
What are the appropriate models and risk factors to account for the shifting behaviour of asset returns under different economic regimes? Are there models that may help us assess the prolonged effects of unconventional monetary policy? Are there additional factors to be incorporated, such as those relating to fiscal policy or the regulatory environment? Will the move from interbank offered rate to overnight risk-free interest rate benchmarks impact public investors’ assessment of returns?
- Robust asset allocation models for public investors
How can portfolio construction and risk management models incorporate shifts in economic or financial regimes? How can public investors, including central banks, incorporate prospective liability considerations into strategic asset allocation?
- Advances in funding and liability modelling
How may discount rate models address the lower interest rate environment and the uncertainty surrounding the future path of interest rates? What steps have public pension plans and sovereign wealth funds taken to address ongoing demographic trends?
- Integration of environmental, social and governance (ESG) factors into the investment process
How to assess the impact of sustainability considerations into the expected returns and risks of an asset? How can risk management – at the enterprise and portfolio levels – be enhanced to incorporate environmental, social and governance factors?
- Emerging technologies, including risk factors, and their application to portfolio construction as well as investment and risk management
How can new technologies, such as advances in learning algorithms and artificial intelligence, be applied to portfolio construction, risk management and other areas of relevance to public investors?
Call for papers
The Bank for International Settlements, the World Bank, the Bank of Canada and the Banca d'Italia are pleased to announce a call for papers for the Eighth Public Investors Conference on Portfolio and Risk Management for central banks, sovereign wealth funds and public pension plans. The conference will be held on 30 November and 1 December 2020 at the Headquarters of the Bank of Canada in Ottawa, Canada.
Since 2008, the Bank for International Settlements and the World Bank, in corporation with partner institutions, have organized this biennial conference to discuss policy issues, quantitative methods and current challenges for central banks, sovereign wealth funds and public pension plans. The conference aims to promote an exchange of innovative ideas among practitioners and academics, to encourage knowledge sharing and collaboration across organizations, and to foster the development and dissemination of best practices in public sector portfolio and risk management.
Proposals (in the form of an abstract with preliminary findings and a supporting outline, or a working paper) should be submitted in electronic format by 15 April 2020 to email@example.com, with a short curriculum vitae.
The conference’s advisory committee will review all submissions, and authors will be informed of the outcome by 15 July 2020.
The selection of proposals will be based upon, among other criteria, their quality and relevance to the conference. Final presentations will then be due by 16 October 2020.
Finally, the advisory committee is considering the possibility of publishing selected papers from the conference in a set of proceedings.
Any questions about the conference may be directed to: