After a brief discussion of the FTK and its background, I analyze the performance of the required reserve that results from the FTK solvability assessment. This is done by simulating the change in the value of the assets and liabilities of pension funds by means of a GARCH-BEKK model that is developed in the text, as well as anexisting ALM model developed by Watson Wyatt. It is shown that in many cases the required reserve performs below its intended reliability level. This is caused by an underestimation of interest risk.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.


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