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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.

Suggested Citation

  • Gregorio Impavido, 2011. "Stress Tests for Defined Benefit Pension Plans – A Primer," IMF Working Papers 2011/029, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2011/029
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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=24623
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    References listed on IDEAS

    as
    1. Brunner, Gregory & Hinz, Richard & Rocha, Roberto, 2008. "Risk-based supervision of pension funds : a review of international experience and preliminary assessment of the first outcomes," Policy Research Working Paper Series 4491, The World Bank.
    2. Milevsky,Moshe A., 2006. "The Calculus of Retirement Income," Cambridge Books, Cambridge University Press, number 9780521842587, September.
    3. Gregory Brunner & Richard Hinz & y Roberto Rocha, 2007. "Risk-Based Supervision of Pension Funds," Working Papers 21, Superintendencia de Pensiones, revised Mar 2008.
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    Cited by:

    1. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    2. Kok, Christoffer & Amzallag, Adrien & Kapp, Daniel, 2014. "The impact of regulating occupational pensions in Europe on investment and financial stability," Occasional Paper Series 154, European Central Bank.

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    Keywords

    WP; present value; interest rate;
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