About Us

The Director

David Blake
Phone: (+44) (0) 20 7040 8600
Email: d.blake@city.ac.uk

Research Interests

Research interests include pension economics and policy, and pension fund investment management and performance. Author of Financial Market Analysis (Wiley, 2nd edition, 2000) and numerous books and articles on pensions and pension fund management.

Selected Publications

Financial Market Analysis, 2nd Edition, Wiley, 2000. [Additions and corrections] [Teaching Resources with Malcolm Hyatt]
Pension Schemes and Pension Funds in the United Kingdom (Oxford University Press, First edition: 1995, pp 607; Second edition: 2003, pp 725).
The Impact of Occupation and Gender on Defined Contribution Pension Plans, Geneva Papers on Risk & Insurance, 2007 (with Andrew Cairns and Kevin Dowd)
Stochastic Lifestyling: Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans, Journal of Economic Dynamics & Control, 30, 2006, 843-877 (with Andrew Cairns and Kevin Dowd)
Survivor Swaps, Journal of Risk and Insurance, 73, 2006, 1-17 (with Kevin Dowd, Andrew Cairns and Paul Dawson)
Mortality-Dependent Financial Risk Measures, Insurance: Mathematics & Economics, 38, 2006, 427-440 (with Andrew Cairns and Kevin Dowd)
Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities, British Actuarial Journal, 2006 (with Andrew Cairns and Kevin Dowd)
Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk, ASTIN Bulletin, 2006 (wth Andrew Cairns and Kevin Dowd)
A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty, Journal of Risk and Insurance (with Andrew Cairns and Kevin Dowd)
On the Sustainability of the UK State Pension System in the Light of Population Ageing and Declining Fertility, Economic Journal, 116, 2006, F286-F305 (with Les Mayhew)
After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures, Journal of Risk and Insurance, 73, 2006, 193-229 (with Kevin Dowd)
Annuities and Accessibility - How the industry can empower consumers to make rational choices, Pensions Institute Practitioner Report, March, 2006 (with Debbie Harrison and Alistair Byrne)
The Grave Problem of Longevity Risk, Financial Engineering News, May-June, 2006, 19-30 (with Andrew Cairns and Kevin Dowd)
Pyrrhic Victory? The unintended consequences of the Pensions Act 2004, Economic Affairs, June, 2006, 9-16 (with Alistair Byrne and Bill Rhodes)
International Asset Allocation with Time-Varying Investment Opportunities, Journal of Business, January 2005, 78-98 (with Allan Timmermann)
Modelling the Composition of Personal Sector Wealth in the UK, Applied Financial Economics, 14, 2004, 611-630
The Impact of Wealth on Consumption and Retirement Behaviour in the UK, Applied Financial Economics, 14, 2004, 555-576.
Long-term Value at Risk, Journal of Risk Finance, 5 (2), 2004, 52-57 (with Andrew Cairns and Kevin Dowd)
Take (Smoothed) Risks When You Are Young, Not When You Are Old: How to Get the Best from Your Pension Plan, IMA Journal of Management Mathematics, 14, 2003, 145-61
UK Pension Fund Management after Myners: The Hunt for Correlation Begins, Journal of Asset Management, 4, 2003, 32-72.
Financial System Requirements for Successful Pension Reform, Pensions, 9, 2003, 59-87
PensionMetrics 2: Stochastic Pension Plan Design during the Distribution Phase, Insurance: Mathematics & Economics, 33, August 2003, 29-47 (with Andrew Cairns and Kevin Dowd)
The United Kingdom Pension System: Key Issues, Pensions, 8, July 2003, 330-375
Reply to 'Survivor Bonds: A Comment on Blake & Burrows', Journal of Risk and Insurance, 70, 2003, 349-351
Performance Clustering and Incentives in the UK Pension Fund Industry, Journal of Asset Management, 3, 2002, 173-194 (with Allan Timmermann and Bruce Lehmann)
Voluntary Carve Outs for Social Security Reform, Quarterly Labor Law Review, 201, 2002, 87-96 (in Japanese) (with John Turner)
Lost Pensions, Lost Pensioners: Is a National Registry of Pension Plans the Answer?, Benefits Quarterly, 18:3, 2002, 51-64 and Quarterly Labor Law Review, 201, 2002, 87-104 (in Japanese) (with John Turner)
Retirees ISO Their Lost Pensions, Contingencies: American Academy of Actuaries, March/April 2002, 72-74 (with John Turner).
Enhancing Annuities with Equity, Journal of Pensions Management, 7, September 2001, 6-8 (with Andrew Cairns and Kevin Dowd).
PensionMetrics: Stochastic Pension Plan Design and Value at Risk during the Accumulation Phase, Insurance: Mathematics & Economics, 29, 2001, 187-215 (with Andrew Cairns and Kevin Dowd)
Survivor Bonds: Helping to Hedge Mortality Risk, Journal of Risk and Insurance, 68, June 2001, 339-348 (with William Burrows).
Measuring Value Added in the Pensions Industry, Geneva Papers on Risk and Insurance, 25, October 2000, 539-567 (with John Board).
Extrapolating VaR by the Square Root Rule, Financial Engineering News, No. 17, August 2000, 5-7 (with Andrew Cairns and Kevin Dowd)
Two Decades of Pension Reform in the UK: What are the Implications for Occupational Pension Schemes? Employee Relations, 22, 2000, 223-245.
Does it Matter What Type of Pension Scheme You Have? Economic Journal, 110, February 2000, F46-F81.
Asset Allocation Dynamics and Pension Fund Performance, Journal of Business, 72, 1999, 429-62 (with Allan Timmermann and Bruce Lehmann).
Annuity Markets: Problems and Solutions, Geneva Papers on Risk and Insurance, 24, July 1999, 358-75.
Portfolio Choice Models for Pension Funds and Life Assurance Companies: Similarities and Differences, Geneva Papers on Risk and Insurance, 24, July 1999, 327-57.
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis, Journal of Empirical Finance, 6, 1999, 121-52 (with Asger Lunde and Allan Timmermann).
Pension Schemes as Options on Pension Fund Assets: Implications for Pension Fund Management, Insurance: Mathematics & Economics, 23, December 1998, 263-86.
Mutual Fund Performance: Evidence from the UK, European Finance Review, 2, 1998, 57-77 (with Allan Timmermann)
Measuring the Performance of Pension Funds using Liability - Driven Performance Attribution, Journal of Pensions Management, 3, 1998, 105-9.
The Demand for Alcohol in the United Kingdom, Applied Economics, 29, 1997, 1655-1672 (with Angelika Nied).
Efficiency, risk aversion and portfolio insurance: An analysis of financial asset portfolios held by investors in the United Kingdom, Economic Journal, 106, 1996, 1175-92.

Additions and corrections for the current (second) edition of Financial Market Analysis.

The layout of amendments is similar to that in the printed book, so you may physically cut and paste the larger amendments if you have printed them using the correct settings.

The final issue of amdt-1 was dated 22nd December 2000 and listed changes that have been incorporated into the second impression (published in July 2001). The second impression also incorporates other, minor corrections that are not of sufficient significance to have been listed.

Note: If you have made amendments to pages 628 and 649 from earlier issues of amdt-1, you should download the final issue and read the `Important Notices'.

Further amendments to this edition appear in a second document, amdt-2. Therefore:

Those with the first impression of the book will need both amdt-1 and amdt-2.
Those with the second impression will need only amdt-2.

You should check the publication date of the most recent version from time to time so that you have the latest amendments.

These documents are now made available in PDF and PostScript^TM format.

PostScript^TM files may be read and printed using gv (UNIX systems) or GSview (Windows systems).
These are front ends to Ghostscript and the appropriate packages are freely available from numerous software archive sites.
When viewing documents with these programs, you should ensure that antialiasing is enabled (the procedure varies between packages).
Note that, in PDF files, equations may not be clearly legible on-screen.

`amdt-1`	`22/12/00`	amdt-1.ps	62KB			amdt-1.pdf	51KB
`amdt-2`	`07/08/02`	amdt-2.ps	19KB			amdt-2.pdf	18KB

Teaching Resources with Malcolm Hyatt

For bona fide adopters of Financial Market Analysis only: A CD-ROM containing slides for teaching the main text, together with answers to selceted end-of-chapter exercises is available from John Wiley & Sons, The Atrium, Southern Gate, Chichester, PO19 8SQ, UK. Tel: +44 (0) 1243 779777.