NETHERLANDS - Dutch consulting and software firm Ortec has developed a model-based global pension risk management framework for an unnamed Dutch company.
The model has been developed in co-operation with a large Dutch company-wide pension fund and the sponsoring multinational company, which has insisted on anonymity.
According to Ortec, the framework will enable the company to an integrated analysis of worldwide asset and liability risks and strong recommendations to its executive board level.
Crucial to achieving these goals is the relationship of pension risks to other financial risks of the company, the multinational’s risk appetite and risk management, such as hedging unfavourable pension risks which don’t fit the risk budget.
The model also allows pension risks to be defined and quantified, especially with respect to defined benefit pension schemes.
The implementation of these pension plans in the ALM-system takes into account national regulations such as the new FTK in the Netherlands and the Minimum Funding Requirement in the UK.
Simultaneously the pension liabilities are calculated according to FASB accounting standards. The software will offer consistent scenarios of multi-country nominal and real interest rates, credit spreads, equity and property returns.
In order to integrate pension risks with the financial risks of the company Ortec has extended the framework by joining forces with J P Morgan.
Ortec has assisted the Dutch pensions regulator by making test calculations for the new FTK.