SPP Event: ‘We Need to Talk about VaR’
Value at Risk, Low Dependency & Resilience
Online
Thursday 26 November 2026
09:30-10:45
What does Value at Risk really tell us, and is it still fit for purpose?
This panel will explore how risk should be measured, when VaR works well and where it falls short, including its application in run-on, its interaction with low-dependency strategies, and the covenant perspective. The discussion will challenge how we think about risk, resilience and VaR in today’s pensions landscape.
We look to explore:
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What do we mean by V and by R?
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Is VaR fit for purpose? When does it work and when is it least effective?
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How should risk be measured, including in run-on?
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LDI and the interaction with low-dependency strategies.
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The covenant perspective.
Speakers
Pauline McConville
Senior Consultant, XPS Group
Pauline is a Scheme Actuary with over 19 years’ experience in the pensions industry, advising trustees and corporate sponsors across a broad range of scheme sizes and circumstances on funding strategy, risk management and regulatory developments. She is also a senior member of the XPS Valuation Solutions team, where she focuses on emerging developments in DB funding and regulation, helping clients navigate the implications of evolving funding and low dependency requirements and develop solutions that support long-term funding objectives.
Chris Austin
Investment Consultant, Marsh
Chris is a Principal in Marsh’s investment team. He has been working in the pensions and investment industry for almost 20 years. Chris joined Marsh in 2010, and is responsible for advising institutional investors on the full range of investment consulting issues, including investment strategy, manager selection, and implementation.
Chris currently acts as Chair of the Investment Committee of the SPP.
Adrian Bourne
Senior Consultant, WTW
Adrian is a senior consultant at WTW. He undertook a short secondment at the PPF, joining their team assessing stressed companies seeking PPF “drop in”. When he joined WTW, he set up their in-house covenant assessment practice and has been advising trustees and corporates ever since. He is also joint-chair of the SPP Covenant Committee.
Huw Evans
Professional Trustee and Director, BESTrustees (Chair)
Huw is trustee to five pension schemes and chairs three of these trustee bodies, one as sole trustee. Huw holds the Pensions Management Institute’s Award in Pensions Trusteeship for both Defined Benefit and Defined Contribution pension schemes and is a fully accredited member of the Association of Professional Pensions Trustees.
Huw’s experience as a trustee includes guiding schemes to the closing stages of wind up, the appointment of new suppliers, the implementation of LDI, fiduciary management and buy-in transactions as well as routine projects such as actuarial valuations.
Before joining BESTrustees, Huw enjoyed a 20-year actuarial career culminating in 7 years at WTW where he was an active member of teams specialising in pension scheme valuations, mortality, European pensions and professional affairs. Prior to joining WTW, Huw was part of the management team of a combined benefits consultancy & administration department within Hewitt Bacon & Woodrow.
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