ABP to implement new internal risk model
NETHERLANDS - ABP, the largest Dutch pension fund, looks set to be the first to implement a new internal risk model for the solvency test as part of the new FTK assessment framework.
"We aim to be one of the first Dutch funds to use an internal risk model for this solvency test," a spokesman for the fund said.
ABP has used an internal risk model for a number of years, though the Dutch central bank, DNB, is currently deciding if ABP can implement its proposed model under the new solvency test.
The fund declined to expand on the particulars of the model until the DNB has given its approval and it is unclear when this will be.
With the new pensions bill that came into force early this year, the solvency test replaced the previous reinsurance requirements for pension funds.
This test is based on the duration of the nominal obligations on market value, which is often higher than the duration of the investments.
Apart from meeting regulatory solvency requirements, an internal model set up on an institution's own expertise is believed to have advantages over the other, standard, model that funds can implement without supervisory approval.
The DNB declined to comment on this specific case.