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PFProjectBenefitsProbDefault

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Interactively run this function

Answer  
0.02
0.0196000000000001
0.019208
0.01882384
0.0184473632000001
0.018078415936
0.01771684761728
0.0173625106649344
0.0170152604516357
0.016674955242603
0.016341456137751
0.0160146270149959
0.015694334474696
0.0153804477852021
0.0150728388294981
0.0147713820529081
0.0144759544118499
0.014186435323613
0.0139027066171407
0.0136246524847978
0.0133521594351019
0.0130851162463999
0.0128234139214719
0.0125669456430424
0.0123156067301816
0.0120692945955779
0.0118279087036663
0.011591350529593
0.0113595235190012
0.0111323330486212
0.0109096863876488
0.0106914926598958
0.0104776628066978
0.0102681095505639
0.0100627473595526
0.00986149241236156
0.00966426256411435
0.00947097731283197
0.00928155776657547
0.454796330562195
0
0


Parameter NameInputAn input expression?Delimiter
iWindUp
iFunding
NumberFactors
Factors
FactorDrivingDefault
StartingFundingLevel
AmortisationFactor
TargetFundingLevel
AssetReturns
StatusCreatesOutgo
StatusWindUpMap
ProjectionLength
AgeRange
MinAge
CurrStatuses
CurrAges
CurrAccrued
CurrFutAcc
AccrueFor
NewStatuses
NewAges
NewAccrued
NewFutAcc
DecrementTable
ExpectedFactors
FactorDefaultAdjParam
WindUpDefaultAdjParam
BaseSponsorDefaultRates
SponsorRecoveryRates
NumberCats
StatusAgeRanges
NumberWindUpPriorities
StatusWindupPriorities
StatusCats
SurplusDistFracs
ExpStatuses
ExpFactAccrued
ExpFactFutAcc
ExpAccruedMin
ExpAccruedFrac
ExpAccruedMax
ExpFutAccMin
ExpFutAccFrac
ExpFutAccMax
Delimiter used in output:

Calculation description
Time-stamp calculation?  
  


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 non-zero 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 Nematrian’s approximate pension projection algorithms)

 


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