General
"Modelling extreme market events" - 2008 report of the Actuarial profession’s benchmarking stochastic models working party which explores over 100 years of data to see how extreme market movements may be modelled
Towers Watson Investment Statistics - updates covering a wide range of market and economic variables for the UK
Historic data
"Rates of return for FSA prescribed projections" - April 2012 PwC report looking into prospective rates of return on different asset classes
Derivatives
"Credit derivatives" - 2006 paper of the Actuarial profession's derivatives working party report giving a good introduction to CDOs, CDSs etc.
"Does your hedge do what it says on the tin? Hedging strategies for insurers: effectiveness in recent conditions and regulatory treatment" - 2010 report of the Actuarial profession's Risk and Investment Working Party
"Derivatives: A practical guide to trustees' responsibilities" - NAPF, 2011 giving an introduction to derivatives and managing risks associated with these (note the NAPF published a further guide in 2014 on derivative risk management which is available for puchase from the NAPF site)
"The Use of Derivatives in Reducing Risk in Pension Scheme Investment" - 2006 Staple Inn Actuarial Society (SIAS) paper
Interest Rate Risk
Papers
"Monetary Regimes and Inflation in the UK, 1976-2007" (David Schenk, 2011) - economics thesis giving a good overview of the evolution of UK monetary policy
"Dimension reduction techniques and forecasting interest rates" - 2012 SIAS paper on principal components analysis (PCA) and other key tools used to model interest rates
Data sources
Bank of England £ yield curve data for gilts and swaps (aka government and commercial bank liability curves)
Bank of England interest rate data including LIBOR and T-Bill rates, as well as some US$ and € rate statistics
European Central Bank € yield curve data - for AAA-rated Euozone bonds going back to September 2004
US Treasury US$ T-Bond yield data
US Federal Reserve Interest Rate data
Bloomberg Government Bond yields - useful "snapshot" of yield curves for key government bonds
Swap Rates - again a useful snapshot of current and recent swap rates
Inflation Risk
Note distinction should be made between implied inflation and actual realised inflation. The former relates to the difference between real and nominal yields and will affect assumptions of future inflation, but ultimately index-linked liabilities will be based on the latter.
Bank of England index-linked gilt real yield and implied inflation data
Bank of England inflation tools - basic yet informative tools on UK inflation experience; note the National Statistics article on consumer prices since 1750 at the bottom of the page
Office for National Statistics Price Indices and Inflation page
ONS historic time series data - this is a very extensive dataset (Excel version is 30MB+ !!) splitting inflation down into components; two series of particular interest are the CDKO and CDSI series with prices and inflation rates going back to 1800
ONS average weekly earning dataset
OECD Consumer Prices - recent inflation statistics for different OECD countries, with historic data available by subscription
Average annual wages - data going bck to 2000 by country (see Labour section of OECD statistics)
Eurostat Harmonized Indices of Consumer Prices (HICP) - main page, with details of consumer prices for EU countries going back to 2001 (for annual averages of prices)
Eurostat Earnings page - with details of gross earnings by industry and occupation, though this data only goes back t 2008 for most countries
Equity Risk
The "Modelling extreme market events" paper above focuses mainly on equity markets. Amongst other things, it considers a dataset of equity returns for 17 different countries going back to 1900 which was developed by Dimson, Marsh and Staunton for their 2002 book "Triumph of the Optimists". This data has since been updated and is available by subscription from Morningstar.
Also of interest is Barclays annual Equity Gilt Study (EGS) which considers 100 years of UK equity and gilt returns as well as inflation. The equity returns are based on the FT All Share from its launch in 1962, the FT30 between its launch in 1935 and 1962, and Barclays own index based on the top 30 stocks by market capitalisation. This is available to Barclays clients or by subscription.
Yahoo! Finance has extensive historical price data:
FTSE100 - going back to 1984
FTSE All Share - going back to end 1972 (monthly - daily data is only available from 1984)
S&P500 - going back to 1950 (Dow Jones Industrial Average only available from 1992 from Yahoo!)
Nikkei 225 - going back to 1984
DAX - going back to 1990
VIX - going back to 1990 (see below)
Details of FTSE 100 and FT All Share indices - including details of largest individual and sector components
CBOE VIX implied option volatility data - noting the VXO index which preceded it
"VIX White Paper" - CBOE paper, 2009
"New Financial Instruments for Hedging Changes in Volatility" (Brenner et al, 1989) - background article to the development of VIX
Property Risk
Commercial property
"The measurement and modelling of commercial real estate performance" - 2003 Actuarial profession paper covering issues with commecrcial property data including valuation smoothing and how this may be allowed for in modelling
IPD commercial property data
UK index details
UK historic index levels
Solvency II reseach (available on request)
Residential property
Nationwide House Price Index (HPI)
Nationwide HPI Data Download - with data going back to 1952
Nationwide HPI Methodology details
Halifax House Price Index - including data download and Technical Details and Index Methodoogy papers
Bank of England Housing Market Articles
"A comparison of UK residential house price indices" - BIS, 2005
Housepricecrash.co.uk - informal, irreverent yet informative
Irish House Price Indices - highlighting the severe fall in Irish house prices from its peak in early 2007
ESRI/PTSB index 1996 - 2011
Central Statistics Office (CSO) residential property price index - which superceded the ESRI/PTSB index in 2011
Those looking for details of US housing bubbles and crashes should consider Professor James Schiller's book "Irrational Exuberance" which looks at over 100 years of house price data.
Foreign Exchange / Currency Risk
Bank of England currency data
Sauder School of Business Exchange Rate Service – extensive histories of foreign exchange rates
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