Pension Fund Regulation and Risk Management: Results from an ALM Optimisation Exercise
This paper provides a stylised assessment of the impact of investment-relevant pension fund regulations and accounting rules on contribution and investment strategies within the context of an asset-liability model (ALM) specifically designed for this purpose. The analysis identifies a substantial im...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2007
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| Schriftenreihe: | OECD Working Papers on Insurance and Private Pensions
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| Schlagworte: | |
| Online-Zugang: | kostenfrei |
| Zusammenfassung: | This paper provides a stylised assessment of the impact of investment-relevant pension fund regulations and accounting rules on contribution and investment strategies within the context of an asset-liability model (ALM) specifically designed for this purpose. The analysis identifies a substantial impact of regulations which, in a simplified way, resemble those in place in Germany, Japan, the Netherlands, United Kingdom and the United States. The ALM model shows that regulations affect funding costs primarily through the choice of investment strategy. Strict funding regulations may force sponsors to make up funding shortfalls in bad economic times and lead them to invest more conservatively, which ultimately raises net funding costs. The paper also shows that fairvalue accounting standards (with immediate recognition of actuarial gains and losses) can contribute to higher funding levels than required by regulators |
| Beschreibung: | 1 Online-Ressource (59 Seiten) 21 x 29.7cm |
| DOI: | 10.1787/171755452623 |
Internformat
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| 520 | |a This paper provides a stylised assessment of the impact of investment-relevant pension fund regulations and accounting rules on contribution and investment strategies within the context of an asset-liability model (ALM) specifically designed for this purpose. The analysis identifies a substantial impact of regulations which, in a simplified way, resemble those in place in Germany, Japan, the Netherlands, United Kingdom and the United States. The ALM model shows that regulations affect funding costs primarily through the choice of investment strategy. Strict funding regulations may force sponsors to make up funding shortfalls in bad economic times and lead them to invest more conservatively, which ultimately raises net funding costs. The paper also shows that fairvalue accounting standards (with immediate recognition of actuarial gains and losses) can contribute to higher funding levels than required by regulators | ||
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| 700 | 1 | |a Franzen, Dorothee |4 ctb | |
| 700 | 1 | |a Scheuenstuhl, Gerhard |4 ctb | |
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Datensatz im Suchindex
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| doi_str_mv | 10.1787/171755452623 |
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| index_date | 2024-07-03T19:35:00Z |
| indexdate | 2024-12-18T19:03:36Z |
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| language | English |
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| physical | 1 Online-Ressource (59 Seiten) 21 x 29.7cm |
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| publisher | OECD Publishing |
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| series2 | OECD Working Papers on Insurance and Private Pensions |
| spelling | Blome, Sandra Verfasser aut Pension Fund Regulation and Risk Management Results from an ALM Optimisation Exercise Sandra Blome ... [et al] = Réglementation des organismes de retraite et gestion des risques : Résultats d'un exercice d'optimisation fondé sur un modèle de GAP / Sandra Blome ... [et al] Réglementation des organismes de retraite et gestion des risques Paris OECD Publishing 2007 1 Online-Ressource (59 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Working Papers on Insurance and Private Pensions This paper provides a stylised assessment of the impact of investment-relevant pension fund regulations and accounting rules on contribution and investment strategies within the context of an asset-liability model (ALM) specifically designed for this purpose. The analysis identifies a substantial impact of regulations which, in a simplified way, resemble those in place in Germany, Japan, the Netherlands, United Kingdom and the United States. The ALM model shows that regulations affect funding costs primarily through the choice of investment strategy. Strict funding regulations may force sponsors to make up funding shortfalls in bad economic times and lead them to invest more conservatively, which ultimately raises net funding costs. The paper also shows that fairvalue accounting standards (with immediate recognition of actuarial gains and losses) can contribute to higher funding levels than required by regulators Finance and Investment Fachinger, Kai ctb Franzen, Dorothee ctb Scheuenstuhl, Gerhard ctb https://doi.org/10.1787/171755452623 Verlag kostenfrei Volltext |
| spellingShingle | Blome, Sandra Pension Fund Regulation and Risk Management Results from an ALM Optimisation Exercise Finance and Investment |
| title | Pension Fund Regulation and Risk Management Results from an ALM Optimisation Exercise |
| title_alt | Réglementation des organismes de retraite et gestion des risques |
| title_auth | Pension Fund Regulation and Risk Management Results from an ALM Optimisation Exercise |
| title_exact_search | Pension Fund Regulation and Risk Management Results from an ALM Optimisation Exercise |
| title_exact_search_txtP | Pension Fund Regulation and Risk Management Results from an ALM Optimisation Exercise |
| title_full | Pension Fund Regulation and Risk Management Results from an ALM Optimisation Exercise Sandra Blome ... [et al] = Réglementation des organismes de retraite et gestion des risques : Résultats d'un exercice d'optimisation fondé sur un modèle de GAP / Sandra Blome ... [et al] |
| title_fullStr | Pension Fund Regulation and Risk Management Results from an ALM Optimisation Exercise Sandra Blome ... [et al] = Réglementation des organismes de retraite et gestion des risques : Résultats d'un exercice d'optimisation fondé sur un modèle de GAP / Sandra Blome ... [et al] |
| title_full_unstemmed | Pension Fund Regulation and Risk Management Results from an ALM Optimisation Exercise Sandra Blome ... [et al] = Réglementation des organismes de retraite et gestion des risques : Résultats d'un exercice d'optimisation fondé sur un modèle de GAP / Sandra Blome ... [et al] |
| title_short | Pension Fund Regulation and Risk Management |
| title_sort | pension fund regulation and risk management results from an alm optimisation exercise |
| title_sub | Results from an ALM Optimisation Exercise |
| topic | Finance and Investment |
| topic_facet | Finance and Investment |
| url | https://doi.org/10.1787/171755452623 |
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