Pension plan solvency and extreme market movements: A regime switching approach
(2014)
Journal Article
Abouraschi, N., Clacher, I., Freeman, M., Hillier, D., Kemp, M., & Zhang, Q. (2016). Pension plan solvency and extreme market movements: A regime switching approach. European Journal of Finance, 22(13), 1292-1319. https://doi.org/10.1080/1351847x.2014.946528
We develop and test a new approach to assess defined benefit (DB) pension plan solvency risk in the presence of extreme market movements. Our method captures both the ‘fat-tailed’ nature of asset returns and their correlation with discount rate chang... Read More about Pension plan solvency and extreme market movements: A regime switching approach.