This paper concludes that conventional asset-liability models seriously under-state downside contribution risk. And some of today's more popular strategies, including de-risking and fully dynamic asset allocation, in our view do not provide the hoped-for benefit in reducing such risk. The authors, however, propose a comprehensive framework that may not only help plan sponsors manage downside contribution risk, but manage median contributions and pension expense at the same time.
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Full report (pdf)
Executive summary (pdf)
Questions
For further information contact your J.P. Morgan representative or email: jpmam.info@jpmorgan.com