This paper presents a simple approach to dynamically embed the risk of rising interest rates in any investment portfolio that includes fixed income securities. It illustrates the approach using a singular perturbation of U.S. treasury rates that can be used either to stress-test investment...

Recent legislation and accounting rule changes motivate defined-benefit pension plans to manage the interest rate risk arising from volatility in their liabilities, as measured by either the accumulated benefit obligation (ABO) or the projected benefit obligation (PBO). For either measure, asset...