Stress Tests for Defined Benefit Pension Plans – A Primer

Author/Editor:

Gregorio Impavido

Publication Date:

February 1, 2011

Electronic Access:

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Link to data for this title

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.

Series:

Working Paper No. 2011/029

Subject:

Discount rates Insurance Pensions Retirement Stress testing

English

Publication Date:

February 1, 2011

ISBN/ISSN:

9781455216765/1018-5941

Stock No:

WPIEA2011029

Pages:

70

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