Risk-Based Supervision of Pension Institutions in Denmark

van Dam, Rein ; Andersen, Erik Brink

Washington, DC:World Bank

关键词: ACCOUNTANT;    ACCOUNTING;    ACCOUNTING STANDARDS;    ANNUAL CONTRIBUTIONS;    ASSESSMENT OF RISK;   

DOI  :  10.1596/1813-9450-4540
RP-ID  :  WPS4540

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper examines the move towardsrisk-based supervision of pension institutions in Denmark.Although Denmark has not adopted a comprehensive model toassess risk it has developed a number of building blockswhich it uses for risk-based assessment.The motivationsfor improving risk assessment include a desire to identifyemerging problems, and concerns about the solvency ofpension institutions. In Denmark there is extensive use ofguaranteed minimum returns in both the accumulation andpayout phases which create substantial obligations onpension institutions, and focus attention on the integrityand solvency of the institutions which provide them.Inconjunction with freeing up investment restrictions andmoving towards market valuation of assets, the supervisorhas introduced a 'traffic light' stress test modelwhich calculates the effect of several market scenarios -the red test which is the more plausible and the yellow testwhich is possible but less likely. In addition to the use ofthe traffic light system, there has been a growing emphasison the adequacy of internal risk control systems and greaterreliance on market discipline.Pension institutions havesought to reduce their exposure to market volatility bybetter matching of assets and liabilities.There is a muchbetter understanding of the risks inherent in the pensioninstitutions' portfolios, and there has been asubstantial increase in the use of hedging instruments.