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Pension fund risk management [36]

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Bullet points include: In theory requires models/components that cater for: Evolution of assets (and of economic factors influencing liability valuations): may require an economic model / economic scenario generator Benefit (and contribution) evolution: may require a suitably specified model of the scheme liabilities (maybe including management actions) Sponsor default impact: may need Loss Given Default to be computed (using (a) and (b)) for each point in time at which sponsor can default (and for each scenario), Probability of Default (at each point in time) may need deriving from bond prices and/or credit rating Other benefit security mechanisms: adapt (a) and (c) as per earlier comments Concentration risk is also conceptually complicated (e.g. utility dependent)

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