Charles Sutcliffe

University of Reading - ICMA Centre

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

21

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CITATIONS
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14

Scholarly Papers (21)

1.

Black-Scholes Versus Artificial Neural Networks in Pricing FTSE 100 Options

Number of pages: 23 Posted: 11 May 2004
Julia A. Bennell and Charles Sutcliffe
University of Southampton - School of Management and University of Reading - ICMA Centre
Downloads 1,011 (14,588)
Citation 3

Abstract:

Black-Scholes, artificial neural networks, option pricing, FTSE 100 call options

2.

Asset Liability Modelling and Pension Schemes: The Application of Robust Optimization to USS

European Journal of Finance, Forthcoming
Number of pages: 42 Posted: 09 Apr 2014 Last Revised: 18 Jan 2016
Emmanouil Platanakis and Charles Sutcliffe
University of Bradford School of Management and University of Reading - ICMA Centre
Downloads 467 (45,919)

Abstract:

Robust Optimization; Pension Scheme; Asset-Liability Model; Sharpe Ratio; Sharpe-Tint; Bayes-Stein; Black-Litterman

3.

Over the Moon or Sick as a Parrot: The Effects of Football Results on a Club's Share Price

Number of pages: 31 Posted: 01 Jul 2009
Adrian R. Bell, Chris Brooks, David Matthews and Charles Sutcliffe
University of Reading - ICMA Centre, University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 357 (58,737)
Citation 1

Abstract:

soccer results, football clubs, stock returns, efficient markets hypothesis

4.

Better Cross Hedges With Composite Hedging? Hedging Equity Portfolios Using Financial and Commodity Futures

ICMA Centre Discussion Papers in Finance No. DP2007-04
Number of pages: 30 Posted: 14 May 2007
Fei Chen and Charles Sutcliffe
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 342 (63,220)

Abstract:

Composite hedging, cross hedging, Amex oil index, contract maturity, transactions costs

Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011

Number of pages: 43 Posted: 03 Jul 2015 Last Revised: 02 Oct 2015
Emmanouil Platanakis and Charles Sutcliffe
University of Bradford School of Management and University of Reading - ICMA Centre
Downloads 158 (151,959)

Abstract:

Defined benefit, Pension scheme, Redistribution, USS, Scheme design, Risk shifting, Risk management

Pension Scheme Redesign and Wealth Redistribution between the Members and Sponsor: The USS Rule Change in October 2011

Insurance: Mathematics and Economics, Forthcoming, Netspar Discussion Paper No. 10/2015-060
Number of pages: 44 Posted: 19 Mar 2016 Last Revised: 03 Nov 2016
Emmanouil Platanakis and Charles Sutcliffe
University of Bradford School of Management and University of Reading - ICMA Centre
Downloads 112 (200,546)

Abstract:

Defined benefit, Pension scheme, Redistribution, USS, Scheme design, Risk shifting, Risk management

6.

Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate

ICMA Centre Finance Discussion Paper
Number of pages: 40 Posted: 27 Sep 2005
John Board and Charles Sutcliffe
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Reading - ICMA Centre
Downloads 258 (91,486)
Citation 1

Abstract:

Pension scheme, portfolio theory, asset-liability modelling, contribution rate risk, solvency risk

7.

Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance

University of Southampton Accounting and Finance Discussion Paper No. AF04-16
Number of pages: 27 Posted: 11 May 2004
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 242 (96,898)
Citation 1

Abstract:

Pension fund, asset allocation, tax arbitrage, risk sharing, default insurance, embedded options

8.

The Cult of the Equity for Pension Funds: Should it Get the Boot?

University of Southampton Accounting and Finance Discussion Paper No. AF04-17
Number of pages: 36 Posted: 11 May 2004
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 237 (101,080)
Citation 7

Abstract:

Pension funds, asset allocation, cult of the equity, time diversification, mean reversion, liability matching, equity risk premium

9.

Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria

ISMA Centre Finance Discussion Paper No. DP2005-09
Number of pages: 15 Posted: 07 Jun 2005
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 188 (123,258)

Abstract:

Pension schemes, mergers, defined benefit

10.

Should Defined Benefit Pension Schemes Be Career Average or Final Salary?

ICMA Discussion Paper No. 2007-6
Number of pages: 32 Posted: 18 Jul 2007
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 126 (175,000)
Citation 1

Abstract:

Career Average Revalued Earnings (CARE) Pension Schemes, Final Salary Pension Schemes, Defined Benefit Pension Schemes, Redistribution

11.

Pricing and Hedging Short Sterling Options Using Neural Networks

Number of pages: 30 Posted: 20 Sep 2011
Charles Sutcliffe and Fei Chen
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 122 (162,383)

Abstract:

Short Sterling, Neural Networks, Option Pricing, Option Hedging

12.

Valuing Medieval Annuities: Were Corrodies Underpriced?

ICMA Centre Discussion Papers in Finance No. DP 2007-15
Number of pages: 33 Posted: 20 Nov 2007
Adrian R. Bell and Charles Sutcliffe
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 107 (198,194)

Abstract:

corrodies, monasteries, annuities, pensions, medieval bishops

13.

Back to the Future: A Long Term Solution to the Occupational Pensions Crisis

Number of pages: 31 Posted: 05 Jun 2010
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 80 (243,969)

Abstract:

Deferred Annuity, Defined Benefit, Defined Contribution, Single Premium Deferred Annuity, Insurers, Occupational Pension Scheme, Derisking, Two-Pension Fund Separation, Crisis

Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios

Number of pages: 31 Posted: 04 Jul 2013
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 46 (336,686)

Abstract:

Annuities, annuity puzzle, arbitrage, longevity, speculation, portfolios, life insurance

Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios

Netspar Discussion Paper No. 10/2013-059
Number of pages: 33 Posted: 20 Nov 2013
Charles Sutcliffe
University of Reading - ICMA Centre
Downloads 15 (477,720)

Abstract:

Annuities, annuity puzzle, arbitrage, longevity, speculation, portfolios, life insurance

15.

Socially Responsible Investment Portfolios: Does the Optimization Process Matter?

Number of pages: 53 Posted: 29 Sep 2015 Last Revised: 04 Nov 2016
Ioannis Oikonomou, Emmanouil Platanakis and Charles Sutcliffe
University of Reading - ICMA Centre, University of Bradford School of Management and University of Reading - ICMA Centre
Downloads 0 (126,750)

Abstract:

corporate social responsibility, CSR, CSP, SRI, sustainability, portfolio optimization

16.

Loan Loss Provisioning by International Banks: Estimation, Determinants and Evidence

Posted: 14 May 2000
Lancaster University - Management School, University of Southampton - School of Management, University of Southampton, University of Southampton - School of Management, University of Reading - ICMA Centre and University of Southampton - School of Management

Abstract:

17.

The Effects of Trade Transparency in the London Stock Exchange: A Summary

Posted: 15 Sep 1999
John Board and Charles Sutcliffe
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Reading - ICMA Centre

Abstract:

18.

The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk

Posted: 15 Sep 1999
John Board and Charles Sutcliffe
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Reading - ICMA Centre

Abstract:

19.

Provisioning Against Bank Loan Losses: An Economic Perspective

Posted: 13 Sep 1999
Richard Dale and Charles Sutcliffe
University of Southampton and University of Reading - ICMA Centre

Abstract:

20.

The Performance of Covered Calls and Protective Puts

Posted: 25 Aug 1998
John Board and Charles Sutcliffe
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Reading - ICMA Centre

Abstract:

21.

The Effects of Spot Transparency on the Bid-Ask Spreads and Volume of Traded Share Options

Discussion Paper 96-126
Posted: 11 May 1998
John Board and Charles Sutcliffe
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Reading - ICMA Centre

Abstract: