Assets, liabilities and risks

Linking Pension Liabilities to Assets

2 Pension assets exist to defease the benefit promises made by plan sponsors to participants and beneficiaries—in other words, the pension liability. It follows that pension investment policies should be set in a way that explicitly integrates the exposures of the pension liability. The traditional approach to pension investing has excluded the risks of the liability, which has resulted in port...

Possible Downsides to Data Sharing in the Research Commons: Assets and Liabilities, Opportunities and Risks

Large-scale data policies easily may have unplanned effects of ‘’homogeneity” on the available data supply. A narrowing of the scope of the data supply tailored to established research paradigms could limit the opportunities for unconventional, but also adventurous, new research directions with the risk of slowing down scientific progress. A systematic assessment of data portfolios not only on ...

Bank’s Assets and Liabilities Management With multiple Sources of Risk

The industrial organization approach to banking is applied to analyze the effects of the introduction of joint credit and interbank rate risk on the optimal decisions on deposits and loans of a competitive bank. It is found that due to the introduction of both sources of risk there appear direct effects as well as portfolio effects which jointly determine changes in the bank’s behavior. Moreove...

Dynamic Replication of Non-Maturing Assets and Liabilities

Modelling the Assets and Liabilities of a Pension Fund

In the context of the historical development of portfolio theory the authors describe a stochastic asset/liability modelling exercise for a closed pension fund portfolio, illustrating the reduction in variance of estimated future surplus which can be achieved by investment in index-linked securities. Equity investment would increase the expected level of surplus, but the outcome would be more u...