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Links  »  Market Risk


"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



"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


"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 - 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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