Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship
提出一个框架，根据分配给资产负债风险管理的资本，利用衍生品高效管理美国养老金计划的利率和信用利差风险，并给出资本配置的滑行路径。
The author puts forth a framework for how to invest efficiently against the two dominant risk factors facing US pension plans—interest rates and credit spreads—as a function of the capital allocated to the asset–liability risk management function (the immunizing portfolio [IP]). The framework uses derivatives and other instruments to vary the nature of the hedge investments as a function of IP capital and seeks efficient use of that capital. The result is a glide path for the IP capital allocation that emphasizes interest rate risk management when IP capital is scarce while balancing interest rate and credit risk management when IP capital is plentiful.