The use of derivatives to hedge embedded options : the case of pension institutions in Denmark (English)

The main purpose of this paper is to examine the growing use of derivatives by Danish pension institutions as a risk management tool to hedge embedded options on their balance sheets. Throughout the 1980s and 1990s it was a widespread practice for Danish pension institutions to guarantee a minimum interest rate on new pension policies. With the new millennium global interest rates declined steeply and equity markets came crashing down. Suddenly the...

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Author

Andersen,Erik Brink;

Ladekarl,Jeppe Furbo;

Ladekarl, Regitze;

Vittas,Dimitri;
Document Date
2007/03/01
Document Type
Policy Research Working Paper
Report Number
WPS4159
Volume No
1
Total Volume(s)
1
Country
Denmark,
Region
Europe and Central Asia,
Disclosure Date
2010/07/01
Disclosure Status
Disclosed
Doc Name
The use of derivatives to hedge embedded options : the case of pension institutions in Denmark
Keywords
interest rate sensitivity

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Citation

Andersen,Erik Brink; Ladekarl,Jeppe Furbo; Ladekarl, Regitze; Vittas,Dimitri.

The use of derivatives to hedge embedded options : the case of pension institutions in Denmark (English). Policy, Research working paper ; no. WPS 4159 Washington, DC: World Bank. http://documents.worldbank.org/curated/en/935471468234326982

The use of derivatives to hedge embedded options : the case of pension institutions in Denmark (English)

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