Defined Benefit Pension Funds: Identifying, Quantifying and Managing Asset-Liability Risks
Document ID: 2005-810 (previously Report 74)
Published on: 1st April 2005
This report develops a market-risk-based risk budgeting framework for trustees and sponsors. This framework can provide transparent identification of the key risks facing a pension fund, how these risks combine and interact, and what they contribute to expected returns. This is illustrated by a case study which illustrates how the insights gleaned from this analysis can help to inform management approaches to the identification and appraisal of candidate strategies for the management of the pension plan's risk/reward profile.
