Stress Tests for Defined Benefit Pension Plans – A Primer
IMF Working Papers, February 1, 2011
Source details
- Canonical URL
- Stress Tests for Defined Benefit Pension Plans – A Primer
Other formats
Bibliographic details
- Authors: Gregorio Impavido
- Published: February 1, 2011
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781455216765.001
Summary and purpose
- Stress testing is presented as a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events.
- The paper aims to 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.
Methodology and tools
- Practical walkthrough using an Excel-based template with institution-specific data.
- Core analytical focus: liability valuation and stress testing of assets and liabilities for a typical defined benefit plan.
Strengths and weaknesses (as emphasized)
- Strengths: Provides a hands-on, template-driven approach to applying stress testing to defined benefit pension plans.
- Weaknesses: Stress tests can be misunderstood; the paper seeks to clarify limitations and appropriate interpretations.
Subjects and keywords
- Subject: Discount rates, Insurance, Pensions, Retirement, Stress testing
- Keywords: interest rate, present value, WP