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Stress Tests for Defined Benefit Pension Plans – A Primer, Gregorio Impavido

Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests and illustrate their strengths and weaknesses. Using an Excel-based template with institution-specific data, readers are walked through the basics of liability valuation and stress testing of assets and liabilities of a typical defined benefit plan
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. What Jurisdictions Do in the Area of Stress Testing; A. Regulatory Framework; 1. Regulatory Provisions for Liability Valuation Vary Considerably Across Countries; 2. Risk Based Solvency Requirements for DB and DC Plans - Select Countries; B. Risk Monitoring Techniques; III. Actuarial Cost Factors; A. Decrement Assumptions; B. Contingent, Composite Survival Probabilities; C. Salary Assumptions; D. Discount Rate Assumptions; IV. Actuarial Liabilities and Methods; A. Individual Actuarial Liabilities for Retired Members
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (101 p.)
Specific Material Designation
Form Of Item

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