加拿大私人固定收益养老金计划的折现率规定

Q3 Social Sciences Social Security Bulletin Pub Date : 2017-12-05 DOI:10.2139/ssrn.3083034
Sally Shen
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引用次数: 1

摘要

由于长期市场工具的稀缺性,私人固定收益(DB)养老金负债的估值需要收益率曲线的外推。在加拿大,采用公司收益率来贴现私人DB养老金负债,但如何外推收益率曲线超出市场流动性点的问题在监管指导中没有明确解决。本文介绍了一种称为“加拿大最终远期利率”的宏观经济外推方法来完成收益率曲线。新方法对插值模型和瞬时市场扭曲具有鲁棒性,有效地降低了估值波动。
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Discount Rate Regulation for Canadian Private Defined Benefit Pension Plans
Due to the scarcity of the long-term market instruments, the valuation of private defined-benefit (DB) pension liabilities requires an extrapolation of the yield curve. In Canada, corporate yields are adopted to discount the private DB pension liabilities, but the issue on how to extrapolate the yield curve beyond the market liquid point has not been clearly addressed in the regulatory guidance. This paper introduces a macroeconomic extrapolation method called "the Canadian ultimate forward rate" to complete the yield curve. The new method effectively reduces the valuation volatility for it is robust against interpolation models and instantaneous market distortions.
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来源期刊
Social Security Bulletin
Social Security Bulletin Social Sciences-Social Sciences (miscellaneous)
CiteScore
0.70
自引率
0.00%
发文量
0
期刊最新文献
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