Sponsor covenants in risk-based capital –
References and other material
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This paper, published in
Life & Pensions Risk, December 2011, explores how we might take account of
the creditworthiness of the sponsor of a pension scheme when assessing its
solvency status. An October 2011 pre-print of the paper is available here.
References within the paper or other documents relevant to this topic are set
out below.
Abstract
Ideally, regulatory capital assessment for occupational
pension schemes should allow for the impact of the sponsor covenant (i.e. the
scope the scheme might have to rely on its sponsor to make good shortfalls in
the scheme). It is an important part of the pension landscape in some EU member
states, including the UK. This paper explores how this might be done within a
market consistent risk sensitive framework.