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Impact of the three months average DNB term structure on Dutch pension funds. Consequences for the coverage ratio and interest rate risk management.

Slot, W.W. (2014) Impact of the three months average DNB term structure on Dutch pension funds. Consequences for the coverage ratio and interest rate risk management.

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Abstract:Pension plans are a popular topic of discussion in the Netherlands, mainly because of the demographic changes (e.g. aging population), a persistent economic crisis and the currently low market interest rates. Various measures are taken in order to either counter or soften the associated pension complications that result from the former. One of them is the implementation of an averaging feature in the interest rate curve, performed at the end of 2011. From that point forward, the present pension liability needs to be derived using a three months average interest rate term structure. The prescribed methodology is what this impact study focuses on. It is a research that aims to analyse the consequences for the coverage ratio and the interest rate risk management of pension funds, the former of which is done through backtesting. Constructing the interest curves, as well as generating future pension cash flows, are all part of this. Furthermore, with it, a consistency in regulations is guaranteed. Both processes are performed by conducting the methodologies prescribed by the Financieel ToetsingsKader (FTK).
Item Type:Essay (Master)
Clients:
PwC
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:01 general works, 31 mathematics, 83 economics
Programme:Industrial Engineering and Management MSc (60029)
Link to this item:http://purl.utwente.nl/essays/65675
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