Commentaire :

Sommaire : Acknowledgments

1 Introduction
1.1 The pension fund challenge
1.2 The risk management revolution
1.3 Foundations and structure of this thesis

Part I: Embedded options in pension funds

2 Understanding and modelling embedded options in DB pension funds
2.1 The relevance of mastering embedded options in pension funds
2.2 Various embedded options in a DB pension fund
Intermezzo: Pension guarantee funds as embedded options?

3 Analysis of embedded options in corporate DB pension funds
3.1 Valuation techniques applied
3.2 The pension fund model
3.3 The impact of adding embedded options
3.4 Option values under various parameter sets
3.5 Sensitivity analysis around the initial funding ratio
3.6 Dominance in ownership
3.7 Moral hazard and the role of embedded options in pension funds
Appendix 3A: A brief history of the quest for option valuation

4 Valuing and hedging the conditional indexation option
4.1 Introduction
4.2 The CDC pension fund model
4.3 Value analysis of the indexation option
4.4 Hedging the indexation option
4.5 Suggestions for further analysis
Appendix 4A: Vega analysis for a single digital put option

5 Redesigning CDC pension funds
5.1 The concept of risk sharing without wealth redistribution
5.2 CDC analysis of a conditionally indexed pension fund in the case without upside entitlements
5.3 Redesigning conditionally indexed CDC pension funds
5.4 CDC analysis and design of a fund without conditional indexation
5.5 Debt versus equity holders: The classic case converted to a CDC pension fund
5.6 Extensions and practical considerations
5.6.1 Subordinated debt and other hybrid classes
5.6.2 Creating a going-concern CDC pension fund
5.6.3 Single versus multiple asset pool constructions
5.6.4 Considerations regarding optimisation
5.6.5 Transition from the current DB system to a fair risk sharing system

Part II: Optimal hedging strategies for DB pension funds

6 Interest rate hedging strategies in a fair value world
6.1 Introduction
6.2 The Asset & Liability Management model
6.3 Nominal interest rate hedges
6.4 Robustness analysis
6.5 Conclusions and suggestions for further research

7 Option based equity hedging strategies
7.1 Introduction
7.2 The Asset & Liability Management model
7.3 Introducing equity options in the portfolio
7.4 Robustness analysis
7.5 Conclusions

Epilogue: The future of the pension system

References
Notation
Summary
Samenvatting (Summary in Dutch)

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque