Entity-wide Risk Management for Pension Funds

This presentation
- explores the application of Enterprise Risk Management (ERM) to pension funds
- highlights developments in the EU that may encourage greater application of ERM to pension funds
- summarises a way of modelling one aspect of ERM relevant to many pension funds, namely the contribution that the 'sponsor covenant' might make to the robustness of the pension promise being provided via the pension fund.

[as pdf]

1Entity-wide Risk Management for Pension Funds
4Definitions of Enterprise Risk Management (ERM)
5Definition of ERM in flowchart form
6‘Enterprise’ versus ‘Entity-Wide’ Risk Management
7ERM versus other types of risk management
8Three pillar structure of modern regulatory frameworks
9Effective entity-wide risk management for pension funds
10Clarity / transparency and coverage
11Some say: ERM is for insurance, not pensions
12Characteristics of successful ERM frameworks
13Typical ERM framework for large financial firm might include
14Typical ERM framework for a non-financial firm
15Governance challenges for pension funds include
17IORP II Directive Proposal
18Typical balance sheet presentations
19Security mechanisms
21Analysing the sponsor covenant: a first step
22Ideally need a forward-looking analysis
23Valuation of sponsor covenant
24Maximum available sponsor support
25Presentation of results
26Pension protection schemes (PPS)
28APPENDIX A: Pension fund security mechanisms
29Tangible assets
30Sponsor covenant
31Conditional benefit structures
32Conditional benefit structures (ctd)
33Pension protection schemes (PPSs)
34Appendix B: Modelling example
35Model structure
36Including asset volatility in model
37Quantifying value split between sponsor and members
38Important Information

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