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The Blind Side: Managing Downside Risk
in Corporate Defined-Benefit Plans

Abdullah Z. Sheikh and Jianxiong Sun
The Journal of Portfolio Management Spring 2013, 39 (3) 65-83; DOI: https://doi.org/10.3905/jpm.2013.39.3.065
Abdullah Z. Sheikh
is vice president of the global multi-asset group at JP Morgan Asset Management in New York, NY.
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  • For correspondence: abdullah.z.sheikh@jpmorgan.com
Jianxiong Sun
is an associate in the global multi-asset group at JP Morgan Asset Management in New York, NY.
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  • For correspondence: jianxiong.x.sun@jpmorgan.com
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Abstract

Following the recession of the early 2000s, defined benefit corporate pension plans faced dramatic funding challenges. They had barely recovered before the recession of 2008 to 2009 sent funding ratios tumbling once again. Many plan sponsors must now make larger contributions than they originally budgeted, in order to bring their plans back to full funding. This article aims to deepen the current discussion of risk reduction in the context of defined benefit plans. It investigates two key issues. First, its authors analyze the effect of non-normality of asset returns on a defined benefit pension plan’s liabilities. They argue that analytical frameworks that assume normality can lead to an underestimation of downside risk, a concern with regard to contributions. Second, the authors develop a multi-dimensional risk-management framework for managing contribution risk.

TOPICS: Pension funds, financial crises and financial market history, VAR and use of alternative risk measures of trading risk

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The Journal of Portfolio Management: 39 (3)
The Journal of Portfolio Management
Vol. 39, Issue 3
Spring 2013
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The Blind Side: Managing Downside Risk
in Corporate Defined-Benefit Plans
Abdullah Z. Sheikh, Jianxiong Sun
The Journal of Portfolio Management Apr 2013, 39 (3) 65-83; DOI: 10.3905/jpm.2013.39.3.065

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The Blind Side: Managing Downside Risk
in Corporate Defined-Benefit Plans
Abdullah Z. Sheikh, Jianxiong Sun
The Journal of Portfolio Management Apr 2013, 39 (3) 65-83; DOI: 10.3905/jpm.2013.39.3.065
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  • Article
    • Abstract
    • AN ENHANCED FRAMEWORK FOR ANALYZING CONTRIBUTION RISK
    • ASSUMING NORMALITY UNDERSTATES KEY PENSION RISKS
    • TESTING A THREE-IN-ONE INVESTMENT STRATEGY
    • CONCLUSIONS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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