Narrow search
Showing 1 - 10 of 22
Cover Image
Valuation of Liabilities in Hybrid Pension Plans
Broeders, Dirk; Chen, An; Rijsbergen, David - de Nederlandsche Bank - 2011
In this paper we derive an analytic valuation formula for a generalized form of liabilities in hybrid pension plans taking account of both equity and interest rate risk. Comparative statistics are carried out to show the relevance of some key parameters in defining the hybrid pension plans,...
Persistent link: https://www.econbiz.de/10009644842
Cover Image
What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds
Broeders, Dirk; Hilbers, Paul; Rijsbergen, David - de Nederlandsche Bank - 2013
a unique panel dataset of 166 Dutch pension funds from 2007 to 2010. Key drivers of indexation are the funding ratio … this is already captured by the funding ratio. We also examine the relation between policy ladders and the actual level of … provided indexation. This study finds that a policy ladder with an upper limit equal to a 100 percent real funding ratio is …
Persistent link: https://www.econbiz.de/10010757288
Cover Image
The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin; Hagen, Juergen von; Vries, Casper de - de Nederlandsche Bank - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10008475753
Cover Image
Term Structure Modeling for Pension Funds:What to do in Practice?
Vlaar, Peter - de Nederlandsche Bank - 2007
With the increased emphasis on market valuation in accounting rules and solvency regulation, the proper modeling of interest rate dynamics has become increasingly important for pension funds. A number of pension fund characteristics make these models particularly demanding. First, as the...
Persistent link: https://www.econbiz.de/10005101819
Cover Image
An Anatomy of Futures Returns: Risk Premiums and Trading Strategies
Roon, Frans A. de; Goorbergh, Rob W. J. van den; … - de Nederlandsche Bank - 2004
This paper analyzes trading strategies which capture the various risk premiums that have been distinguished in futures markets. On the basis of a simple decomposition of futures returns, we show that the return on a short-term futures contract measures the spot-futures premium, while spreading...
Persistent link: https://www.econbiz.de/10005101908
Cover Image
Multivariate Feller conditions in term structure models: Why do(n't) we care?
Spreij, Peter; Veerman, Enno; Vlaar, Peter - de Nederlandsche Bank - 2008
In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate square root process to ensure that the roots have nonnegative arguments. For a discrete time...
Persistent link: https://www.econbiz.de/10005106639
Cover Image
Measuring Financial Stability: Applying the MfRisk Model to the Netherlands
End, Jan Willem van den; Tabbae, Mostafa - de Nederlandsche Bank - 2005
Models which integrate various financial stability risks are still in an early stage of development. In this paper we use the Macrofinancial Risk model (MfRisk) to construct a measure for financial stability. MfRisk applies the Merton option model in a multi-sector framework. We argue that this...
Persistent link: https://www.econbiz.de/10005106687
Cover Image
Banks' responses to funding liquidity shocks: lending adjustment, liquidity hoarding and fire sales
Haan, Leo de; End, Jan Willem van den - de Nederlandsche Bank - 2011
The crisis of 2007-2009 has shown that financial market turbulence can lead to huge funding liquidity problems for … that banks respond to a negative funding liquidity shock in a number of ways. First, banks reduce lending, especially … banks. This paper provides empirical evidence on banks' responses to wholesale funding shocks, using data of seventeen of …
Persistent link: https://www.econbiz.de/10009018572
Cover Image
The measurement of international pension obligations - Have we harmonised enough?
Wal, Dirk van der - de Nederlandsche Bank - 2014
In the domain of pension statistics comparability of pension entitlements across countries improved substantially due to new SNA/ESA recommendations. In the near future, inclusion of unfunded employment related pension schemes in the core accounts or in the supplementary table on pensions will...
Persistent link: https://www.econbiz.de/10010822699
Cover Image
Modelling the liquidity ratio as macroprudential instrument
End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012
The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of … regulatory rule can have negative externalities. We simulate the systemic implications of the LCR by a liquidity stress …
Persistent link: https://www.econbiz.de/10010543516