The Blind Side: Managing Downside Riskin Corporate Defined-Benefit Plans
研究了资产收益非正态性对固定收益养老金计划负债的影响，指出假设正态性会低估下行风险，并提出了管理缴费风险的多维风险管理框架。
Following the recession of the early 2000s, defined benefit corporate pension plans faced dramatic funding challenges. They had barely recovered before the recession of 2008 to 2009 sent funding ratios tumbling once again. Many plan sponsors must now make larger contributions than they originally budgeted, in order to bring their plans back to full funding. This article aims to deepen the current discussion of risk reduction in the context of defined benefit plans. It investigates two key issues. First, its authors analyze the effect of non-normality of asset returns on a defined benefit pension plan’s liabilities. They argue that analytical frameworks that assume normality can lead to an underestimation of downside risk, a concern with regard to contributions. Second, the authors develop a multi-dimensional risk-management framework for managing contribution risk. <b>TOPICS:</b>Pension funds, financial crises and financial market history, VAR and use of alternative risk measures of trading risk