Pension finance:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester, West Sussex, England
Wiley
2006
|
| Subjects: | |
| Online Access: | Table of contents only Inhaltsverzeichnis |
| Physical Description: | XVII, 465 S. graph. Darst. |
| ISBN: | 9780470058435 0470058439 |
Staff View
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| 245 | 1 | 0 | |a Pension finance |c David Blake |
| 264 | 1 | |a Chichester, West Sussex, England |b Wiley |c 2006 | |
| 300 | |a XVII, 465 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 650 | 7 | |a Pensioenfondsen |2 gtt | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 7 | |a Risk management |2 gtt | |
| 650 | 4 | |a Pension trusts |x Management | |
| 650 | 4 | |a Pension trusts |x Investments | |
| 650 | 4 | |a Portfolio management | |
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Record in the Search Index
| _version_ | 1804136319097503744 |
|---|---|
| adam_text | Contents
Preface xv
1 Investment Assets Held by Pension Funds 1
1.1 Money market securities 1
1.2 Bonds and loans 5
1.3 Shares 10
1.4 Collective investment vehicles 13
1.4.1 Unit trusts and open ended investment vehicles 13
1.4.2 Investment trusts 15
1.4.3 Insurance products 16
1.4.4 Exchange traded funds and guaranteed growth
funds 17
1.5 Real assets 18
1.5.1 Property 18
1.5.2 Land 21
1.5.3 Collectibles 21
1.6 Derivatives 22
1.6.1 Forwards and futures 22
1.6.2 Options, warrants and convertibles 26
1.6.3 Swaps 32
1.6.4 Forward rate agreements 36
1.6.5 Synthetic securities 37
1.7 Alternative investments 37
1.7.1 Public market strategies 38
1.7.2 Private market or private equity strategies 44
1.7.3 Natural resources 47
1.8 Socially responsible investment 48
1.9 Global custody 49
viii Contents
1.10 Different asset characteristics and uses 51
1.10.1 Asset characteristics 51
1.10.2 Asset uses 52
1.11 Conclusions 61
Questions 61
Appendix: Standard deviation, value at risk and correlation 62
References 64
2 Personal Finance: The Allocation of Personal Wealth to
Different Asset Classes 67
2.1 Introduction 67
2.2 Modelling the allocation of personal wealth to
different asset classes 70
2.3 Conclusions 74
Questions 75
References 76
3 Corporate Pension Finance 77
3.1 The valuation of pension liabilities: differences
between the actuarial and economic approaches 77
3.2 Pensions and the company balance sheet:
differences between the accounting and economic
approaches 79
3.3 The asset allocation of the pension fund 83
3.3.1 A fully funded pension fund 84
3.3.2 An underfunded pension fund 87
3.3.3 A pension fund with liabilities linked to
earnings growth 87
3.3.4 An insured pension fund 88
3.4 The relationship between the pension fund and the
sponsoring company s profitability, credit rating and
share price 91
3.4.1 Profitability 91
3.4.2 Credit rating 92
3.4.3 Share price 93
3.5 Conclusions 96
Questions 98
References 99
Contents ix
4 Defined Contribution Pension Schemes The
Accumulation Phase 101
4.1 The optimal design of DC schemes during the
accumulation phase 101
4.1.1 Stochastic pension scheme design 102
4.1.2 Risk factors 104
4.1.3 Control variables 111
4.1.4 Simulation output 114
4.1.5 Choosing the optimal asset allocation strategy 122
4.1.6 The trade off between risk and contribution
rates 123
4.2 Charges 124
4.2.1 Types of charges 124
4.2.2 Reduction in yield 125
4.2.3 Reduction in contributions 127
4.2.4 Changing charging structures and the
impact of hidden charges 130
4.3 Persistency 132
4.3.1 Persistency rates 132
4.3.2 Adjusting reported charges for policy lapses 133
4.4 Conclusions 134
Questions 135
Appendix: Charges 137
A.I Reduction in yield 138
A.2 Reduction in contributions 139
A.3 Adjusting for lapse rates 140
References 142
5 Defined Contribution Pension Schemes The
Distribution Phase 145
5.1 Annuities 145
5.1.1 Purchase arrangements 146
5.1.2 Coverage 146
5.1.3 Variations 147
5.1.4 Other features 147
5.1.5 Payment terms 148
5.1.6 Decomposition of annuity charges 152
5.1.7 Mortality drag 159
x Contents
5.2 The optimal design of DC schemes during the
distribution phase 161
5.2.1 Alternative distribution programmes 162
5.2.2 Stochastic pension scheme design 166
5.2.3 Simulation output 174
5.2.4 Impact of poor health 183
5.2.5 The annuitisation decision 183
5.3 Conclusions 187
Questions 188
References 189
6 Defined Benefit Pension Schemes 191
6.1 Types of defined benefit scheme 191
6.2 Defined benefit liabilities 194
6.3 The option composition of pension schemes 196
6.4 Valuing the options 199
6.5 The pension scheme preferences of members,
sponsors and fund managers 206
6.6 Conclusions 208
Questions 209
References 209
7 Pension Fund Management 211
7.1 The role of a pension fund 211
7.2 The functions of a pension fund manager 217
7.3 Fund management styles 218
7.4 Different fund management strategies for defined
benefit and defined contribution schemes 220
7.5 The fund manager s relationship with the trustees 224
7.5.1 Determining the trustees objectives and
constraints 224
7.5.2 Determining the trustees benchmark portfolio 225
7.5.3 Investment risk budgeting 231
7.6 Passive fund management 233
7.7 Active fund management 237
7.7.1 Active share fund management 238
7.7.2 Active bond fund management 243
7.7.3 Mixed active passive fund management 248
7.8 Asset liability management 250
7.8.1 Managing surplus risk 253
Contents xi
7.8.2 Managing contribution risk 259
7.8.3 Key ALM strategies 260
7.9 The Myners Review of institutional investment 274
7.10 Conclusions 280
Questions 281
Appendix 7A: Investment objectives questionnaire 283
Appendix 7B: Derivation of the optimal contribution rate
and asset allocation in a defined benefit pension fund 287
References 290
8 Pension Fund Performance Measurement
and Attribution 293
8.1 Ex post returns 293
8.2 Benchmarks of comparison for actively managed
funds 296
8.3 Risk adjusted measures of portfolio performance for
actively managed funds 299
8.3.1 Performance measures based on
risk adjusted excess returns 300
8.3.2 Performance measures based on alpha 302
8.4 Performance attribution for actively managed
funds 305
8.5 Liability driven performance attribution 310
8.6 Realised investment performance 314
8.6.1 Investment performance of DC funds 314
8.6.2 The investment performance of DB funds 317
8.7 Performance related fund management fees 324
8.8 How frequently should fund managers be
assessed? 326
8.9 Conclusions 328
Questions 329
Appendix: Deriving the power function 330
References 332
9 Risk Management in Pension Funds 335
9.1 The objective of hedging 335
9.2 Hedging with futures 336
9.2.1 Hedging with stock index futures 338
9.2.2 Hedging with bond futures 340
9.2.3 Hedging with currency futures 343
xii Contents
9.3 Hedging with options 344
9.3.1 Hedging with individual stock options 344
9.3.2 Hedging with stock index options 350
9.3.3 Hedging with bond options 351
9.3.4 Hedging with currency options 351
9.4 Hedging with swaps 352
9.5 Hedging longevity risk 354
9.5.1 Longevity risk 354
9.5.2 A new hedging instrument: longevity
(or survivor) bonds 358
9.5.3 The implications of longevity bonds 358
9.5.4 Mortality linked derivatives 362
9.6 Conclusions 363
Questions 363
References 364
10 Pension Fund Insurance 367
10.1 The Pension Protection Fund (PPF) 367
10.2 What the Pension Protection Fund can learn
from other financial institutions and compensation
schemes 368
10.2.1 The financial regulation of banks 369
10.2.2 The financial regulation of life assurers 374
10.2.3 Financial Services Compensation
Scheme 382
10.2.4 The financial regulation of pension funds 383
10.2.5 Pension Benefit Guaranty Corporation
(PBGC) 388
10.3 The risks facing the PPF 390
10.3.1 Moral hazard 391
10.3.2 Adverse selection: bad drives out good 392
10.3.3 Systemic risk 392
10.3.4 Political risk 394
10.4 Dealing with these risks 394
10.4.1 An equity claim against the sponsoring
company 395
10.4.2 A maximum payout 395
10.4.3 Risk based premiums linked to the level of
underfunding 395
10.4.4 A funding standard for schemes 396
Contents xiii
10.4.5 Close supervision and the public exposure
of companies that underfund their schemes 397
10.4.6 Comment 398
10.5 Conclusions 398
Questions 399
Appendix: The Marcus (1987) and Vanderhei (1990)
Models 400
References 408
Appendix A: Financial Arithmetic 411
A.I Future values: single payments 411
A. 1.1 Simple interest 411
A. 1.2 Compound interest: annual compounding 412
A. 1.3 Compound interest: more frequent
compounding 412
A. 1.4 Flat and effective rates of interest 414
A.2 Present values: single payments 414
A.2.1 Present values: annual discounting 415
A.2.2 Present values: more frequent discounting 415
A.3 Future values: multiple payments 416
A.3.1 Irregular payments 416
A.3.2 Regular payments 417
A.4 Present values: multiple payments 418
A.4.1 Irregular payments 418
A.4.2 Regular payments: annual payments with
annual discounting 419
A.4.3 Perpetuities 419
A.5 Rates of return 420
A.5.1 Single period rate of return 420
A.5.2 Internal rate of return or money weighted
rate of return 421
A.5.3 Time weighted rate of return or geometric
mean rate of return 423
Appendix B: Yields and Yields Curves 425
B.I Yields 425
B.I.I Current yield 425
B.1.2 Yield to maturity 425
B.2 Yield curves 427
B .2.1 The yield to maturity yield curve 427
xiv Contents
B.2.2 The coupon yield curve 428
B.2.3 The par (or swap) yield curve 429
B.2.4 The spot (or zero coupon) yield curve 430
B.2.5 The forward yield curve 433
B.2.6 The annuity yield curve 436
B.2.7 Rolling yield curve 437
Appendix C: Duration and Convexity 439
C.I Duration 439
C.2 Convexity 446
Index 451
|
| adam_txt |
Contents
Preface xv
1 Investment Assets Held by Pension Funds 1
1.1 Money market securities 1
1.2 Bonds and loans 5
1.3 Shares 10
1.4 Collective investment vehicles 13
1.4.1 Unit trusts and open ended investment vehicles 13
1.4.2 Investment trusts 15
1.4.3 Insurance products 16
1.4.4 Exchange traded funds and guaranteed growth
funds 17
1.5 Real assets 18
1.5.1 Property 18
1.5.2 Land 21
1.5.3 Collectibles 21
1.6 Derivatives 22
1.6.1 Forwards and futures 22
1.6.2 Options, warrants and convertibles 26
1.6.3 Swaps 32
1.6.4 Forward rate agreements 36
1.6.5 Synthetic securities 37
1.7 Alternative investments 37
1.7.1 Public market strategies 38
1.7.2 Private market or private equity strategies 44
1.7.3 Natural resources 47
1.8 Socially responsible investment 48
1.9 Global custody 49
viii Contents
1.10 Different asset characteristics and uses 51
1.10.1 Asset characteristics 51
1.10.2 Asset uses 52
1.11 Conclusions 61
Questions 61
Appendix: Standard deviation, value at risk and correlation 62
References 64
2 Personal Finance: The Allocation of Personal Wealth to
Different Asset Classes 67
2.1 Introduction 67
2.2 Modelling the allocation of personal wealth to
different asset classes 70
2.3 Conclusions 74
Questions 75
References 76
3 Corporate Pension Finance 77
3.1 The valuation of pension liabilities: differences
between the actuarial and economic approaches 77
3.2 Pensions and the company balance sheet:
differences between the accounting and economic
approaches 79
3.3 The asset allocation of the pension fund 83
3.3.1 A fully funded pension fund 84
3.3.2 An underfunded pension fund 87
3.3.3 A pension fund with liabilities linked to
earnings growth 87
3.3.4 An insured pension fund 88
3.4 The relationship between the pension fund and the
sponsoring company's profitability, credit rating and
share price 91
3.4.1 Profitability 91
3.4.2 Credit rating 92
3.4.3 Share price 93
3.5 Conclusions 96
Questions 98
References 99
Contents ix
4 Defined Contribution Pension Schemes The
Accumulation Phase 101
4.1 The optimal design of DC schemes during the
accumulation phase 101
4.1.1 Stochastic pension scheme design 102
4.1.2 Risk factors 104
4.1.3 Control variables 111
4.1.4 Simulation output 114
4.1.5 Choosing the optimal asset allocation strategy 122
4.1.6 The trade off between risk and contribution
rates 123
4.2 Charges 124
4.2.1 Types of charges 124
4.2.2 Reduction in yield 125
4.2.3 Reduction in contributions 127
4.2.4 Changing charging structures and the
impact of hidden charges 130
4.3 Persistency 132
4.3.1 Persistency rates 132
4.3.2 Adjusting reported charges for policy lapses 133
4.4 Conclusions 134
Questions 135
Appendix: Charges 137
A.I Reduction in yield 138
A.2 Reduction in contributions 139
A.3 Adjusting for lapse rates 140
References 142
5 Defined Contribution Pension Schemes The
Distribution Phase 145
5.1 Annuities 145
5.1.1 Purchase arrangements 146
5.1.2 Coverage 146
5.1.3 Variations 147
5.1.4 Other features 147
5.1.5 Payment terms 148
5.1.6 Decomposition of annuity charges 152
5.1.7 Mortality drag 159
x Contents
5.2 The optimal design of DC schemes during the
distribution phase 161
5.2.1 Alternative distribution programmes 162
5.2.2 Stochastic pension scheme design 166
5.2.3 Simulation output 174
5.2.4 Impact of poor health 183
5.2.5 The annuitisation decision 183
5.3 Conclusions 187
Questions 188
References 189
6 Defined Benefit Pension Schemes 191
6.1 Types of defined benefit scheme 191
6.2 Defined benefit liabilities 194
6.3 The option composition of pension schemes 196
6.4 Valuing the options 199
6.5 The pension scheme preferences of members,
sponsors and fund managers 206
6.6 Conclusions 208
Questions 209
References 209
7 Pension Fund Management 211
7.1 The role of a pension fund 211
7.2 The functions of a pension fund manager 217
7.3 Fund management styles 218
7.4 Different fund management strategies for defined
benefit and defined contribution schemes 220
7.5 The fund manager's relationship with the trustees 224
7.5.1 Determining the trustees' objectives and
constraints 224
7.5.2 Determining the trustees'benchmark portfolio 225
7.5.3 Investment risk budgeting 231
7.6 Passive fund management 233
7.7 Active fund management 237
7.7.1 Active share fund management 238
7.7.2 Active bond fund management 243
7.7.3 Mixed active passive fund management 248
7.8 Asset liability management 250
7.8.1 Managing surplus risk 253
Contents xi
7.8.2 Managing contribution risk 259
7.8.3 Key ALM strategies 260
7.9 The Myners Review of institutional investment 274
7.10 Conclusions 280
Questions 281
Appendix 7A: Investment objectives questionnaire 283
Appendix 7B: Derivation of the optimal contribution rate
and asset allocation in a defined benefit pension fund 287
References 290
8 Pension Fund Performance Measurement
and Attribution 293
8.1 Ex post returns 293
8.2 Benchmarks of comparison for actively managed
funds 296
8.3 Risk adjusted measures of portfolio performance for
actively managed funds 299
8.3.1 Performance measures based on
risk adjusted excess returns 300
8.3.2 Performance measures based on alpha 302
8.4 Performance attribution for actively managed
funds 305
8.5 Liability driven performance attribution 310
8.6 Realised investment performance 314
8.6.1 Investment performance of DC funds 314
8.6.2 The investment performance of DB funds 317
8.7 Performance related fund management fees 324
8.8 How frequently should fund managers be
assessed? 326
8.9 Conclusions 328
Questions 329
Appendix: Deriving the power function 330
References 332
9 Risk Management in Pension Funds 335
9.1 The objective of hedging 335
9.2 Hedging with futures 336
9.2.1 Hedging with stock index futures 338
9.2.2 Hedging with bond futures 340
9.2.3 Hedging with currency futures 343
xii Contents
9.3 Hedging with options 344
9.3.1 Hedging with individual stock options 344
9.3.2 Hedging with stock index options 350
9.3.3 Hedging with bond options 351
9.3.4 Hedging with currency options 351
9.4 Hedging with swaps 352
9.5 Hedging longevity risk 354
9.5.1 Longevity risk 354
9.5.2 A new hedging instrument: longevity
(or survivor) bonds 358
9.5.3 The implications of longevity bonds 358
9.5.4 Mortality linked derivatives 362
9.6 Conclusions 363
Questions 363
References 364
10 Pension Fund Insurance 367
10.1 The Pension Protection Fund (PPF) 367
10.2 What the Pension Protection Fund can learn
from other financial institutions and compensation
schemes 368
10.2.1 The financial regulation of banks 369
10.2.2 The financial regulation of life assurers 374
10.2.3 Financial Services Compensation
Scheme 382
10.2.4 The financial regulation of pension funds 383
10.2.5 Pension Benefit Guaranty Corporation
(PBGC) 388
10.3 The risks facing the PPF 390
10.3.1 Moral hazard 391
10.3.2 Adverse selection: bad drives out good 392
10.3.3 Systemic risk 392
10.3.4 Political risk 394
10.4 Dealing with these risks 394
10.4.1 An equity claim against the sponsoring
company 395
10.4.2 A maximum payout 395
10.4.3 Risk based premiums linked to the level of
underfunding 395
10.4.4 A funding standard for schemes 396
Contents xiii
10.4.5 Close supervision and the public exposure
of companies that underfund their schemes 397
10.4.6 Comment 398
10.5 Conclusions 398
Questions 399
Appendix: The Marcus (1987) and Vanderhei (1990)
Models 400
References 408
Appendix A: Financial Arithmetic 411
A.I Future values: single payments 411
A. 1.1 Simple interest 411
A. 1.2 Compound interest: annual compounding 412
A. 1.3 Compound interest: more frequent
compounding 412
A. 1.4 Flat and effective rates of interest 414
A.2 Present values: single payments 414
A.2.1 Present values: annual discounting 415
A.2.2 Present values: more frequent discounting 415
A.3 Future values: multiple payments 416
A.3.1 Irregular payments 416
A.3.2 Regular payments 417
A.4 Present values: multiple payments 418
A.4.1 Irregular payments 418
A.4.2 Regular payments: annual payments with
annual discounting 419
A.4.3 Perpetuities 419
A.5 Rates of return 420
A.5.1 Single period rate of return 420
A.5.2 Internal rate of return or money weighted
rate of return 421
A.5.3 Time weighted rate of return or geometric
mean rate of return 423
Appendix B: Yields and Yields Curves 425
B.I Yields 425
B.I.I Current yield 425
B.1.2 Yield to maturity 425
B.2 Yield curves 427
B .2.1 The yield to maturity yield curve 427
xiv Contents
B.2.2 The coupon yield curve 428
B.2.3 The par (or swap) yield curve 429
B.2.4 The spot (or zero coupon) yield curve 430
B.2.5 The forward yield curve 433
B.2.6 The annuity yield curve 436
B.2.7 Rolling yield curve 437
Appendix C: Duration and Convexity 439
C.I Duration 439
C.2 Convexity 446
Index 451 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Blake, David 1954- |
| author_GND | (DE-588)124800025 |
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| ctrlnum | (OCoLC)70230599 (DE-599)BVBBV022301358 |
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| dewey-search | 332.67/254 |
| dewey-sort | 3332.67 3254 |
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| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV022301358 |
| illustrated | Illustrated |
| index_date | 2024-07-02T16:55:10Z |
| indexdate | 2024-07-09T20:54:30Z |
| institution | BVB |
| isbn | 9780470058435 0470058439 |
| language | English |
| lccn | 2006020145 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015511345 |
| oclc_num | 70230599 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-384 DE-20 |
| owner_facet | DE-473 DE-BY-UBG DE-384 DE-20 |
| physical | XVII, 465 S. graph. Darst. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Wiley |
| record_format | marc |
| spelling | Blake, David 1954- Verfasser (DE-588)124800025 aut Pension finance David Blake Chichester, West Sussex, England Wiley 2006 XVII, 465 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Pensioenfondsen gtt Portfolio-analyse gtt Risk management gtt Pension trusts Management Pension trusts Investments Portfolio management Altersversorgung (DE-588)4001479-4 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Altersversorgung (DE-588)4001479-4 s Finanzierung (DE-588)4017182-6 s Portfoliomanagement (DE-588)4115601-8 s DE-604 http://www.loc.gov/catdir/toc/ecip0616/2006020145.html Table of contents only HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015511345&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Blake, David 1954- Pension finance Pensioenfondsen gtt Portfolio-analyse gtt Risk management gtt Pension trusts Management Pension trusts Investments Portfolio management Altersversorgung (DE-588)4001479-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzierung (DE-588)4017182-6 gnd |
| subject_GND | (DE-588)4001479-4 (DE-588)4115601-8 (DE-588)4017182-6 |
| title | Pension finance |
| title_auth | Pension finance |
| title_exact_search | Pension finance |
| title_exact_search_txtP | Pension finance |
| title_full | Pension finance David Blake |
| title_fullStr | Pension finance David Blake |
| title_full_unstemmed | Pension finance David Blake |
| title_short | Pension finance |
| title_sort | pension finance |
| topic | Pensioenfondsen gtt Portfolio-analyse gtt Risk management gtt Pension trusts Management Pension trusts Investments Portfolio management Altersversorgung (DE-588)4001479-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Finanzierung (DE-588)4017182-6 gnd |
| topic_facet | Pensioenfondsen Portfolio-analyse Risk management Pension trusts Management Pension trusts Investments Portfolio management Altersversorgung Portfoliomanagement Finanzierung |
| url | http://www.loc.gov/catdir/toc/ecip0616/2006020145.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015511345&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT blakedavid pensionfinance |