Asset Allocation Policy for Defined-Benefit Pension Schemes: Risks Created by the MFR & FRS17
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Document ID: 2002-808 (previously Report 67)
Published on: 30th April 2002
Soon defined benefit pension schemes will have two regulatory/reporting valuation regimes to contend with – FRS17 and the MFR. These valuations have quite different characteristics, and the matching asset allocation strategy under the two regimes can be quite different. In this report, we use a Monte-Carlo simulation model to analyse the risks created by these two different valuation methods, and how each may be managed.
