讲座简介：

This paper presents an enterprise risk management (ERM) model for a firm that is composed of a portfolio of capital investment projects and a defined benefit (DB) plan for its workforce. The firm faces the project, operational and hazard risks from its investment projects as well as the financial and longevity risks from its DB plan. The firm maximizes its capital market value net of pension contributions subject to constraints that control project, operational, hazard, financial and longevity risks as well as an overall risk constraint. By comparing values via ERM versus silo risk management, this analysis illustrates the importance of integrating pension risk in the firm’s ERM program. The analysis also shows how pension hedging strategies can impact the firm’s net value. While the existing literature suggests that an excess-risk longevity hedging strategy such as a longevity swap is more attractive than a ground-up strategy such as a pension buy-out since the latter is more capital intensive and expensive, the analysis here shows that subject to the constraints, the excess-risk hedging strategy is less effective in improving firm value.

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