Research area: meso, finance
Department: Pension Fund Consultancy (PFC)
Supervisor: drs. Jitske van London
Description: More and more Dutch multinationals are adopting the International Financial Reporting Standards (IFRS). This means that the way in which pension costs and surpluses occur on the balance sheet and the profit and loss account of the corporation differs strongly from the way in which this is done under conventional accounting methods. These differences have a strong impact on the way in which corporations view the contribution risks they are exposed to within pension funds and thereby also on the risk and return tradeoffs that are made in ALM projects of the pension funds. Under these accounting rules, the assets and liabilities of all pension funds of a multinational corporation are valued by the same method. This allows for an assessment of the worldwide pension risks of a multinational corporation. Furthermore, the corporation and the pension funds are exposed to a number of identical risk drivers which calls for an integral analysis of the total financial risks of a multinational corporation. The objective of this project is to work on the foundations of this worldwide approach to ALM by finding out the needs for and defining corporate ALM while taking into account the restrictions from the corporation side such as governance issues and the legal independency of pension funds. Also studying the specific IAS accounting rules can be a part of the assignment.
Background information:
Bezooyen, J. van (2003), “Pensions, the Corporate Perspective”, Fiducie, Volume 11, nr. 3.
Vos, M and J. van Londen (2005), “Corporate Asset Liability Management: An integral model for supporting pension and corporate descissions”, Medium Econometrische Toepassingen, Volume 13, nr. 2