Decomposing Funding-Ratio Risk: Providing Pension Funds with Key Insights into Their Liabilities Hedge Mismatch and Other Factor Exposures
提出一个新框架来分解固定收益养老金计划的资金比率风险，区别于以往关注盈余风险的做法，并引入错配因子衡量负债价值变化的影响，通过实际案例展示如何将风险分解为错配风险及利率、通胀、经济增长等因子敞口。
In recent years, adverse market conditions have demolished the funding status of many defined benefit (DB) pension plans, highlighting the need for better risk management. In this article, the authors propose a novel framework to decompose the risk of DB pension plans, which differs from earlier work in two fundamental ways. First, while others focused on surplus risk, the authors give sound reasons to focus on funding-ratio risk instead. Second, the authors include a special mismatch factor to measure the sensitivity of the funding ratio to changes in the value of liabilities. They illustrate their framework with a case study based on an actual DB pension fund and decompose its funding-ratio risk into mismatch risk and other factor exposures dealing with real interest rates, inflation, and economic growth risks. <b>TOPICS:</b>Retirement, risk management