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05 January 2016

年金向け情報サイトIPE:オランダ年金業界、EIOPA(欧州保険年金機構)のストレス・テストを批判 


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The Dutch pensions industry has criticised recent European stress tests, arguing that the approach taken by the European Insurance and Occupational Pensions Authority will fail to provide any useful insights.


Peter Vlaar, APG’s head of ALM modelling; Siert Vos, MN’s senior policy adviser; Agnes Joseph of Syntrus Achemea; Niels Kortleve, PGGM’s innovation manager; and Sibylle Reichert of the Pensions Federation, said EIOPA should not treat pension funds like banks or insurance companies. The authors – pointing out that pension funds cannot default and are unleveraged and unburdened by mass withdrawals – denied that the sector posed a contagion risk to other institutions.

Instead of EIOPA’s assessing European pension funds based on the two adverse market scenarios – proposing a crash in share prices or a rate increase – or an increase in life expectancy, the authors instead proposed ALM studies as a means of providing insight into the impact of stress scenarios on beneficiaries. They argued that the ALM study included a number of calculations, such as future potential benefit levels, that were absent in EIOPA’s calculation.

Full article (IPE subscription required)



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