The main purpose of this paper is to examine the growing use of derivatives by Danish pension institutions as a risk management tool to hedge embedded options on their balance sheets. Throughout the 1980s and 1990s it was a widespread practice for Danish pension institutions to guarantee a minimum interest rate on new pension policies. With the new millennium global interest rates declined steeply and equity markets came crashing down. Suddenly the...
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INFORMACIÓN
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2007/03/01
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Documento de trabajo sobre investigaciones relativas a políticas
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WPS4159
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1
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1
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2010/07/01
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Disclosed
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The use of derivatives to hedge embedded options : the case of pension institutions in Denmark
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interest rate sensitivity