Jansen, Kristy A.E; Klingler, Sven; Ranaldo, Angelo; … - 2023
Pension funds are increasingly relying on swaps to hedge the long-term nature of their liabilities. While the use of … swaps reduces pension funds' exposure to interest rate risk, it exposes pension funds to liquidity risk because of potential … margin calls. We study these effects using unique data for the Dutch pension system and show that hedging behavior exposes …