Stress Tests for Defined Benefit Pension Plans

Stress Tests for Defined Benefit Pension Plans – A Primer

February 1, 2011

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Format: Chicago

Gregorio Impavido. Stress Tests for Defined Benefit Pension Plans – A Primer, (USA: International Monetary Fund, 2011) accessed November 23, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Discount rates, Insurance, Pensions, Retirement, Stress testing

Keywords: Interest rate, Present value, WP

Publication Details

Pages:

70
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2011/029
Stock No:

WPIEA2011029
ISBN:

9781455216765
ISSN:

1018-5941

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