PhD Econometrics (2006) Curious Contracts. Pension Fund Redesign for the Future.

Transcription

1 Curriculum Vitae Theo Kocken Date of birth: 24 March 1964 Place of birth: Eindhoven, The Netherlands Academic career: Bachelor Business Administration (1990) Bachelor thesis: Game-theoretic approach for dynamic investment strategies (Physics department Technical University Eindhoven, the Netherlands) Masters Econometrics (1993) Cum Laude (Tilburg University, Tilburg, the Netherlands) Specialisation: Mathematical Economics Master thesis: Risk-sensitive optimisation PhD Econometrics (2006) PhD thesis: Curious Contracts. Pension Fund Redesign for the Future. (VU University Amsterdam, the Netherlands) Professor of Risk Management for Institutional Investors (2010-present) (VU University Amsterdam, the Netherlands)

2 Professional career: Bank for Dutch Municipalities ( ) (The Hague, the Netherlands) Research & Development Asset & Liability Management & Risk Control. Reponsible for the set up of a conceptual framework for Risk Management and Asset & Liability Management on the basis of his research. Implementation of an ALM & Risk Control system finalised in ING-Barings ( ) (Amsterdam, the Netherlands; London, UK) Head of Market Risk, Treasury, Trading & Sales Amsterdam Responsible for the set up of the Market Risk Department in Amsterdam (1995) supervising the central dealing room of ING Treasury, Trading & Sales (that integrated with Barings Brothers in 1995). Responsible for integrating the world-wide trading portfolios in one central risk system in This area included complete responsibility for methodology, data, system construction, implementation and operational daily execution of trading risk management for all trading desks. Responsible for consultation with and acceptance by the Dutch Central Bank for all methodology ING used for the acceptance of BIS Capital Requirements for Market Risk. Emphasis in this position was on practical implementable scientific methods for the measurement of market risk, a.o. for the sizeable emerging market portfolios of ING worldwide. 2

3 Rabobank International ( ) (Utrecht, the Netherlands; London, UK) Head of Central Market Risk Responsible for world-wide Market Risk, including all Rabobank International worldwide dealing rooms. Managing the local risk management departments and the central risk department. Integration of all world-wide trading portfolios in a central risk system (1998). This area included complete responsibility for the operational execution and methodology. Consultation with and acceptance by the Dutch Central Bank for the methodology for BIS Capital Requirements for Market Risk. Emphasis in this position was on refining risk measurement methods for a.o. credit risk trading portfolios, integrate world-wide option portfolios and central Value at Risk system for external capital adequacy and analyzing and measurement of Event Risk and Stress Testing to determine internal capital adequacy. Cardano (2000-present) (Rotterdam, London, Amsterdam) Founder and CEO Responsible for strategy, business development and research. Chairman of Cardano Group, which consists of Cardano Rotterdam, Cardano Development Amsterdam and Cardano London. Cardano Rotterdam serves pension funds and insurance companies in Europe with risk management support including execution and implementation of derivatives overlay. Cardano London serves pension funds in the UK with investment management and risk management based on fully delegated mandates. Cardano Development serves Development Finance Institutions (DFI) such as the World Bank, KfW, FMO and African Development Bank. One example of Cardano Development services is TCX. TCX is a special purpose fund providing market risk management products to its DFI investors and their clients active in emerging markets. This unique fund focuses on currencies and maturities which are not covered by regular market providers. 3

4 Publications Theo Kocken Books Kocken, T.P. (2012), Endogenous Instability, Rotterdam: Cardano. Kocken, Th.P. ( ). Curious Contracts: Pension Fund Redesign for the Future. VU Vrije Universiteit (241 pag.) ('s-hertogenbosch: Tutein Nolthenius). Prom./coprom.: prof.dr. J.M.G. Frijns, & prof.dr. C.G.E. Boender. Kocken, T.P. (2004), Decision at Risk, Rotterdam: Cardano. Kocken, T.P. (2000), On pirates, pointed caps and paradoxes, Rotterdam: Cardano. Kocken, T.P. (1997), Financial Risk Management, s Hertogenbosch: Tutein Nolthenius / Nederlands Instituut voor Bank en Effectenbedrijf (NIBE). 288 p. Chapters in books Kocken, Th.P. (2011), Impliciete contracten en houdbaarheid, in prof.mr. R.H. Maatman, prof.mr. R.M.M.J. Bauer, prof.mr. D. Busch, prof.mr. L.G. Verburg, Onderneming en Pensioen, Deventer: Kluwer. Kocken, T.P., A. de Kreuk (2010), Different Stakeholder s Risks in DB Pension Funds, in M. Micocci, G.N. Gregoriou, G.B. Masala (Eds.), Pension Fund Risk Management: Financial and Actuarial Modelling, New York: CRC Press. Chapman & Hall/CRC Finance Series. Kocken, T.P. (2009), Corporate Covenant and Other Embedded Options in Pension Funds, in C. Gardner (Eds). The Ultimate Resource, London: Qfinance/Bloomsbury. Kocken, T.P., J. van der Hoek, A. Michaels, D. Bieber (2005), From Conditional to Full Indexation; A Discussion of Liability Solutions used in the Dutch and UK Pension Funds, in B. Benaben (Eds.). Inflation-Linked Products (Chapter 11), London: RISK books. Kocken, T.P. (2005), Financiële Innovaties en het Pensioencontract, in R. Bauer, R. Maatman, J. Mensonides, T. Steenkamp, J. Kune, & M. Sturmans (Eds.). Vergezichten; Over Beleggen, Pensioenen en Toezicht. Speciale uitgave, ter gelegenheid van het afscheid van Jean Frijns bij ABP. Driebergen: Riskmatrix. Kocken, T.P., H.H.J.G. Naus (2000), Marktrisico Management, in H. Harbrink Numan (Eds). Handboek Opties & Futures, Houten: Arko Uitgeverij. 4

5 Kocken, T.P. (1997), Het Marktrisico van Financiële Portefeuilles, in P.J.W. Duffhues, & J.G. Groeneveld (Eds.). Financiële Instrumenten, Deel 1: Financiering, belegging en risicobeheersing, (hoofdstuk 10, pp ), Deventer: Kluwer. Articles (from 2007 onward) Kocken, T.P. (2012), Consistentie is eerste vereiste, IPN, oktober/november Kocken, T.P., B. Oldenkamp, J. Potters (2012), An alternative model for extrapolation, Insurance Risk, august Kocken, T.P. (2012), Pension Liability Measurement and Intergenerational Fairness: Two Case Studies, Rotman International Journal of Pension Management, Spring Kocken, T.P., R. Daniels (2012), Inherently Unstable Markets: rethinking risk management, FSA Magazine, april Kocken, T.P., B. Oldenkamp (2012), Generatiebestendig waarderen van verplichtingen in het nieuwe Pensioenakkoord, TPV, februari Kocken, T.P. (2011), Makkelijker gaat het niet, Pensioen Bestuur & Management, september Kocken, T.P. (2011), Financiële contracten tussen generaties en de noodzaak van arbitragevrije waardering, Working paper, 12 september Kocken, T.P. (2011), Inflatierisico bij pensioenfondsen, Fondsnieuws, 3 mei Kocken, T.P. (2011), Why the Design of Maturing Defined Benefit Plans Needs Rethinking, Rotman International Journal of Pension Management, Spring Kocken, T.P., K. Rosenberg (2011), Focus on Payment, IPE, January Kocken, T.P. (2011), Collectieve doelpensioenen, Pensioen Bestuur & Management, januari Kocken, T.P. (2010), Aandacht voor uitkeringsfase, IPN, oktober/november Kocken, T.P., J.J.J. Potters (2010), Sinking Giants, Life & Pensions, May Kocken, T.P. (2010), Grijs decennium; fleurig vakgebied, IPN, februari/maart

6 Kocken, T.P. (2009), Risk Management in de wereld van Minsky, VBA Journaal, 4, 25, winter Kocken, T.P. (2009), Van curieuze contracten naar delende doelpensioenen, APG Achtergrond, 5, oktober, Kocken, T.P. (2009), Finding certainty in uncertainty, Life & Pensions, 1 October Hoevenaars, R.P.M.M., T.P. Kocken, E. Ponds (2009), Pricing Risk in Corporate Pension Plans, Rotman International Journal of Pension Management, 2, 1, Hoevenaars, R.P.M.M., T.P. Kocken, E. Ponds (2009), De waarde van het werkgeversrisico in collectieve pensioenen, ESB, 94 (4552), Kocken, T.P. (2009), Pension fund risk management: Multistakeholders, risk management and the embedded options approach, Journal of Risk Management in Financial Institutions, Vol. 2, 2, Kocken, T.P. (2008) Eigendom schept betrokkenheid, Investments & Pensions Nederland, 1, (1), april, Kocken, T.P. (2007), Ontspanningsoefeningen voor ons pensioenstelsel, Tijdschrift voor Pensioenvraagstukken, 5, oktober, Kocken, T.P. (2007), Constructing sustainable pensions, Life & Pensions, 1 July Kocken, T.P. (2007), Houdbaar risicodelend pensioensparen vereist explicietere contracten, Pensioen Magazine, mei 2007,