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.We then constructed an Excel template to analyze changes in funding ratio of DB plans for alternative values of ... Indeed the template lends itself to study various parametric reforms such as changes in accrual rate, retirement ages, anyanbsp;...
|Title||:||Stress Tests for Defined Benefit Pension Plans: A Primer|
|Publisher||:||International Monetary Fund - 2011-02-01|