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Risk Management Analytics

Research Paper

This quarterly Risk Monitor for Asset Owners reports on the risk and return behavior of five representative pension plans. This edition reports on Q4 2013.  We present the performance and risk of assets during the past year and past quarter, adding in liabilities to examine funding status and surplus risk. We apply stress tests and show the effects of the scenarios on both the asset portfolios and funding status.  Finally, we present the evolution of risk and return of the...

Risk Management Analytics RiskMetrics RiskManager

Research Paper

This quarterly Risk Monitor for Asset Owners reports on the risk and return behavior of five representative pension plans. This edition reports on Q1 2014.  We present the performance and risk of assets during the past year and past quarter, adding in liabilities to examine funding status and surplus risk. We apply stress tests and show the effects of the scenarios on both the asset portfolios and funding status.  Finally, we present the evolution of risk and return of the...

Risk Management Analytics

Research Paper

This quarterly Risk Monitor for Asset Owners reports on the risk and return behavior of five model pension plan types. This edition reports on Q2 2014. We represent the performance and risk of their assets over the past year and past quarter, adding in liabilities to examine funding status and surplus risk. We apply stress tests and show the effects of the scenarios on both the asset portfolios and plans' funding status. Finally, we present the evolution of risk and return of the asset...

Research Paper

This quarterly Risk Monitor reports on the risk and return behavior of four representative pension plan types (US Public, US Corporate, UK Occupational, Netherlands). We present the performance and risk of assets held by these plans during the past year and past quarter, including liabilities, to examine funding status and surplus risk. We apply stress tests and show the effects of the scenarios on both the asset portfolios and plans’ funding status. Finally, we present the evolution of...

Risk Management Analytics

Research Paper

This quarterly Risk Monitor reports on the risk and return behavior of four representative pension plan types (US Public, US Corporate, UK Occupational, Netherlands). We present the performance and risk of assets held by these plans during the past year and past quarter, including liabilities, to examine funding status and surplus risk. We apply stress tests and show the effects of the scenarios on both the asset portfolios and plans’ funding status. Finally, we present the evolution of...

Risk Management Analytics

Research Paper

This quarterly publication reports on the risk and return behavior of major global pension systems: U.S. public and corporate, Canadian, UK and Dutch funds are examined.During the third quarter, North American pension funds on average declined in value while European pension funds increased in value, largely because of currency depreciation. The Q3 2014 edition also explores funding status and surplus risk, and applies stress tests and the effects of several scenarios on assets and funding...

Research Paper

Research Paper

Research Paper

Risk Management Analytics