Defined Benefit Pension Funds - Identifying, quantifying and managing asset-liability risks
Document ID: 2008-1211 (previously 74)
Published on: 20th November 2008
Author: Andrew Barrie, Craig Turnbull
Here we present a risk management framework for the identification, measurement and management of the asset-liability risks inherent in defined benefit pension plans. This is a flexible and transparent platform that can provide immediate insights into the key risk drivers of a DB pension plan, and how these risks interact. Some of these insights are obvious - if a pension plan holds equity assets to back liability cashflows that are, at best, indirectly related to equity returns, the pension plan will be exposed to falls in equity values.
