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Decomposing Funding-Ratio Risk: Providing Pension Funds with Key Insights into Their Liabilities Hedge Mismatch and Other Factor Exposures

Erik Kroon, Anton Wouters and Raul Leote de Carvalho
The Journal of Portfolio Management Summer 2017, 43 (4) 71-86; DOI: https://doi.org/10.3905/jpm.2017.43.4.071
Erik Kroon
is a research manager on the Financial Engineering team at BNP Paribas Asset Management in Amsterdam, the Netherlands
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Anton Wouters
is the head of customized and fiduciary solutions on the Multi Asset Solutions team at BNP Paribas Asset Management in Amsterdam, the Netherlands
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Raul Leote de Carvalho
is the deputy-head of Financial Engineering at BNP Paribas Asset Management in Paris, France
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Article Information

vol. 43 no. 4 71-86
DOI 
https://doi.org/10.3905/jpm.2017.43.4.071

Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online July 31, 2017.

Copyright & Usage 
© 2017 Institutional Investor, LLC

Author Information

  1. Erik Kroon
    1. is a research manager on the Financial Engineering team at BNP Paribas Asset Management in Amsterdam, the Netherlands. (erik.kroon{at}bnpparibas.com)
  2. Anton Wouters
    1. is the head of customized and fiduciary solutions on the Multi Asset Solutions team at BNP Paribas Asset Management in Amsterdam, the Netherlands. (anton.wouters{at}bnpparibas.com)
  3. Raul Leote de Carvalho
    1. is the deputy-head of Financial Engineering at BNP Paribas Asset Management in Paris, France. (raul.leotedecarvalho{at}bnpparibas.com)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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The Journal of Portfolio Management: 43 (4)
The Journal of Portfolio Management
Vol. 43, Issue 4
Summer 2017
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Decomposing Funding-Ratio Risk: Providing Pension Funds with Key Insights into Their Liabilities Hedge Mismatch and Other Factor Exposures
Erik Kroon, Anton Wouters, Raul Leote de Carvalho
The Journal of Portfolio Management Jul 2017, 43 (4) 71-86; DOI: 10.3905/jpm.2017.43.4.071

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Decomposing Funding-Ratio Risk: Providing Pension Funds with Key Insights into Their Liabilities Hedge Mismatch and Other Factor Exposures
Erik Kroon, Anton Wouters, Raul Leote de Carvalho
The Journal of Portfolio Management Jul 2017, 43 (4) 71-86; DOI: 10.3905/jpm.2017.43.4.071
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  • Article
    • Abstract
    • FUNDING RATIO AND SURPLUS4
    • RISK METHODOLOGY
    • CASE STUDY: SETTINGS
    • ABC’S MODEL PORTFOLIO
    • CASE STUDY: RISK ANALYSIS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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