PFProjectBenefitsProbDefault
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Function Description
Returns an array showing the probability of sponsor default
over any given year in a pension fund projection.
If FactorDefaultAdjParam and WindUpDefaultAdjParam
are both zero then the computations are very straightforward, depending only on
BaseSponsorDefaultRates.
However, if FactorDefaultAdjParam or WindUpDefaultAdjParam
are nonzero then the probability of default is adjusted from the above in a
manner that reflecting the progression of the FactorDrivingDefault or by
how well funded on a discontinuance basis the scheme is projected to be at
future points in time, by applying a scaling factor to BaseSponsorDefaultRates
(min 0, max 1) defined as follows:
where: i = year in projection, F = FactorDefaultAdjParam,
r(i) = Actual return (movement) on Factor Driving Default(i),
e(i) = Expected return on Factor Driving Default(i), W
= WindUpDefaultAdjParam, V(i) = TotalBenefitValue(i)
(on a windup basis), A(i) = Total Asset Value(i)
(values of r(i), e(i), V(i)
and A(i) are computed using Nematrianâ€™s approximate pension
projection algorithms)
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