Research and publications
Capital structure choices, pension fund allocation decisions and the rational pricing of liability streams
Journal of Pension Economics & Finance, Volume 21, Issue 3 , July 2022, pp. 425 - 445
This paper ...
Author(s):
Lionel Martellini, Vincent Milhau
Summary:
Journal of Pension Economics & Finance, Volume 21, Issue 3 , July 2022, pp. 425 - 445
This paper introduces an integrated asset-liability management model that allows for the joint quantitative analysis of capital structure choices, pension fund allocation decisions and rational pricing of liabilities. We confirm that capital structure decisions have a substantial impact on the value of pension claims, and we provide a quantitative assessment of the mispricing induced by the use of an arbitrary regulatory discount rate. We also present a quantitative assessment of the asset substitution effect implied by a change in the pension fund allocation to risky assets taking place after the corporate and pension obligation claims have been issued.
| Type : | Academic Publication |
|---|---|
| Date : | 13/06/2022 |
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