CIA/CAS Joint Session

Montreal, November 17, 2004

Actuaries in Non-Traditional Roles

Investment Banking

Duncan McCallum

Managing Director, Global Markets

RBC Capital Markets

Career History

Qualified as an Actuary in 1981

- FSA, FCIA

Pension Consulting for 10 Years

- EVP and Chief Actuary at W. F. Morneau & Associates

Switched to Investment Banking in October, 1991

Debt-focused Investment Banking from 1991 to Present

How I Switched

Lateral application of actuarial mathematics

- Designed structure for Canada’s Real Return Bonds

- Same structure now used for TIPS in the US

The Early Days

Greater excitement and risk

Actuarial Strengths in Finance

An actuary can be a technical star in banking

Actuarial Weaknesses in Finance

Alliances can trump technical solutions

Best Actuarial Fits in Finance

Many applications for actuarial mathematics

- Derivatives

- Indexed funds

- Structured products

Conclusion

Once an actuary, always an actuary