Risk Management

Hospitals of Ontario Pension Plan (HOOPP)

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Dr. Marlene Puffer is a member of the Board of Trustees and she is Chair of the Asset-Liability Committee of the Hospitals of Ontario Pension Plan (HOOPP), one of Canada’s largest pension plans.  The Asset-Liability Committee oversees all aspects of the leading-edge liability-driven investment strategy that makes extensive use of derivatives and alternative asset classes.

LDI Strategy and Implementation

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Dr. Puffer created and implemented a Liability-Driven Investment strategy (LDI) for NAV CANADA’s $3Billion pension plan using derivatives. She was responsible for all aspects of investment management and asset mix for the pension fund. She restructured the real estate and equity portfolios. The strategy reduced the volatility of the plan’s solvency ratio and improved the risk profile of the pension fund. She worked closely with the Board, senior management, unions and the plan actuaries to develop a governance process for the pension plan including risk assessment, risk budgeting, optimization, and risk monitoring.

Evaluation of the Canada Mortgage Bond Program

Dr. Puffer was part of a large team of consultants evaluating the Canada Mortgage Bond program which finances the majority of mortgage lending in the Canadian market.  The focus of the study was on Canada’s residential mortgage market from 2001-2006, with an update following market developments since August, 2007. Twist Financial component reports included a report on Capital Markets, a report on Canadian Mortgage Markets (with KPMG), and a Literature Review, with Prof. Paul Halpern and Prof. Alexandra Mackay, from the Rotman School of Management, University of Toronto. Other consultants on the project included ALM Model Metrics, KPMG, Dr. Michael Lea of Cardiff Economic Consulting. The final summary report is here.