Case Study: Creating Holistic Balance
Sheets for Pension Funds
[this page | pdf | back links]
Nematrian’s founder and
Kemp was invited by the Actuarial Association of Europe (AAE), a
European-wide actuarial body, to contribute to advice to EIOPA on proposed
refinements to the EU-wide regulatory framework applying to Institutions for
Occupational Retirement Provision (IORPs). Included by EIOPA in these proposals
was a proposal for EU IORPs to develop holistic balance sheets
incorporating security mechanisms not otherwise captured by more traditional balance
Malcolm worked closely
with others to formulate more practical ways in which the holistic balance
sheet concept could be included in the Quantitative Impact Study proposed by
EIOPA. The outcome was that EIOPA was better able to understand how holistic
balance sheets might in practice be specified and some of the potential
challenges involved. The AAE was able to further its own mandate, which is to
offer expert advice to EU bodies thereby promoting the role and expertise of
actuaries in the financial community.
If you want to find out
more about Nematrian’s approach to holistic balance sheets or how Nematrian can
help then please contact Malcolm Kemp at firstname.lastname@example.org.
Related material available via
There is a significant
amount of material on this topic included in the Nematrian Extensions part of
the Nematrian website. Malcolm authored two leading papers in 2011 addressing
these topics, Entity-wide
risk management for pension funds (written in conjunction with Chinu Patel)
covenants in risk based capital (links take you to pre-print versions of
these documents on the Nematrian website). Related topics are also covered in
Malcolm’s book on Market
Consistency published by Wileys.
Some of the AAE’s advice
was based on Nematrian’s own submission to EIOPA, a copy of which is available here.
Please contact us if you
would like a copy of the spreadsheet referred to in Nematrian’s submission or
to sign up to receive other research material from Nematrian in this area.