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Measuring and explaining pension system risk

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  • FABOZZI, FRANK J.

Abstract

We discuss pension system risk in the USA, 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., 2015. "Measuring and explaining pension system risk," Journal of Pension Economics and Finance, Cambridge University Press, vol. 14(2), pages 161-171, April.
    • Handle: RePEc:cup:jpenef:v:14:y:2015:i:02:p:161-171_00
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    Cited by:

    1. Luca Larcher & Francis Breedon, 2020. "Discounting and the market valuation of defined benefit pensions," Working Papers 932, Queen Mary University of London, School of Economics and Finance.

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