Pension fund risk management [24]

Go to: Summary | Previous | Next   
Bullet points include: Valuation (from the perspective of members) perhaps more akin to a specialised structured credit instrument Needing two (or more?) dimensional model, probability-weighting different economic scenarios and different times when sponsor might default If answer is to be market consistent then probabilities must be those implied by market prices, i.e. risk-neutral in nature Added practical complications: Problem is potentially path-dependent: sponsor contributions between 0 and t may depend on evolution (of funding position) over that period Option-like characteristics may be present: e.g. sponsor may recapture part (or all) of any surplus or benefits may have include conditional elements, see later

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile