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Stress Tests for Defined Benefit Pension Plans: A Primer

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  • Gregorio Impavido

Abstract

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.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/29.

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Length: 70
Date of creation: 01 Feb 2011
Date of revision:
Handle: RePEc:imf:imfwpa:11/29

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Keywords: Economic models; Pension regulations; Pension supervision; retirement; benefits; pension; retirement age; salary; normal retirement age; retirement benefits; early retirement; wage; pension plan; salaries; pension plans; retirement benefit; pension funds; life annuities; pension fund; defined benefit; life annuity; pensions; solvency margin; retirement ages; benefit formula; tax treatment; pension liabilities; defined benefit pension plans; solvency requirements; pension benefits; accrual rate; defined benefit plans; wages; longevity risk; insurance companies; longevity insurance; life expectancy; asset manager; compensation; mortality table; private pension plans; basic pension; private pension; investment return; defined benefit pension; market risk; inflation indexation; benefit payments; benefit pension; life insurance; pension benefit; private pensions; worker; mortality tables; average benefits; pension savings; pension assets; defined contribution plans; payroll; indexed annuity; retirement plan; deferred annuity; tax rate; retirement income; pension fund assets; wage growth; personal pension; supervisory authorities; labor income; long term savings; investment risks; portfolio management; annuity factor; retirement funds; defined benefit plan; personal pension plans; single life annuities; salary increases; labor force; investment risk; risk bearing; pension rights; asset management; contribution rates; investment management; occupational retirement; inflation risks; tax treatments; solvency margins; cash balance; benefit formulae; pension payments; future income; severance pay; inflation risk; merit increases; individual retirement; pension fund managers; average wage growth; wage increases; pension products; deferred annuities; indexed annuities; provident funds; benefit formulas; salary increase; payment of pension; minimum benefits; supervision of pension funds; pension costs; internal controls; pension arrangements; types of pensions; individual account; pension payment; retirement products; public pension; corporate pension; wage levels; unisex tables; investment returns; longevity risks; tax advantages; public pension liabilities; pension beneficiaries; individual pension; savings for retirement; pension fund manager; benefit payment;

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