Measuring and Explaining Pension System Risk

Pension Research Council Working Paper, PRC WP2013-15

23 Pages Posted: 9 Oct 2013

Date Written: September 2013

Abstract

We discuss pension system risk in the United States by focusing on the investment policy and the methodology for the valuation of the liabilities of the Pension Benefit Guaranty Corporation (PBGC). We offer suggestions as to how the PBGC should consider modifying the Pension Insurance Modeling System. The issues of investment policy and liability valuation are not two distinct topics. As emphasized here, the proper valuation of liabilities provides a benchmark for the PBGC to use as a starting point for the establishment of its investment policy and then for assessing investment performance.

Suggested Citation

Fabozzi, Frank J., Measuring and Explaining Pension System Risk (September 2013). Pension Research Council Working Paper, PRC WP2013-15, Available at SSRN: https://ssrn.com/abstract=2337145 or http://dx.doi.org/10.2139/ssrn.2337145

Frank J. Fabozzi (Contact Author)

EDHEC Business School ( email )

France
215 598-8924 (Phone)

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