SSE Seminar: Peter Lin "Hedging Strategies for Liability-Driven Investment"
Thursday, July 31, 2014 – ( 2:30 pm to 3:30 pm )
Location: Babbio 503
SSE Seminar Series
Hedging Strategies for Liability-Driven Investment
Peter Lin - Managing Director, Gamma Paradigm Capital -- New York, NY
ABSTRACT: Today there are more than 29,000 private sector pension plans covering more than 44 million worker-retirees. The associated liability under these plans is almost $3 trillion. In 2012 the New York Times reported (July 20, 2012) that of companies in the Standard & Poor’s 500, 338 had defined benefit pension plans with aggregate liability of $1.68 trillion, only 18 were fully funded and the underfunded amount was estimated as $355 billion. This research explores the risks faced by pension sponsors under the Pension Protection Act of 2006. Some hedging strategies drawn from analyzing these risks are considered and their costs and opportunity identified. In addition, hedging instruments are proposed and priced for unforeseen and un-hedgable portfolio risks.
BIOGRAPHY: Peter C.L. Lin, Ph.D., is an Adjunct Professor of Financial Engineering and the Department of Mathematical Sciences at the Stevens Institute of Technology. Dr. Lin received his MS in Computer Science from Columbia University and his PhD in Applied Mathematics and Statistics from Johns Hopkins University. He is currently a managing director at Gamma Paradigm Capital. Previously, he was a quantitative analyst for fixed-income quantitative portfolio strategies at Ryan Labs Asset Management, a New York-based investment advisor with over $4 Billion assets under management. His research interests include algorithmic trading with cloud and parallel computing, interest-rate term-structure modeling, and quantitative portfolio management.