Latest Insights

White paper ‘The curse of the UFR-drag’

Roll risk management for pension funds

For the valuation of pension liabilities, pension funds in the Netherlands use the so-called interest rate term structure (IRTS) with the ultimate forward rate (UFR) curve. This curve basically allows pension funds to apply a higher rate to value their liabilities – the UFR is currently at 1.9% – than interest rates observed in financial markets. Now pension funds are suffering from the so-called UFR-drag.

Opting for limited inequality of opportunities

While scientists and politicians do not always agree on the plan for how to fight the corona pandemic, there is consensus on one aspect: the economic crisis we have entered as a result may develop to a scale unprecedented for all of us.

Insurers at the boiling point

Financial impact of COVID-19

At the beginning of 2020, the coronavirus COVID-19 disrupted the world in a manner that hardly anyone was prepared for. A vast amount of resources is required to get through this phase. For insurance companies, this means facing greater uncertainty regarding the management of financial risks on their balance sheet at a time when they are already dealing with the low interest rate environment and major regulatory changes, such as IFRS 17.

Zanders Risk Management Seminar

As with famous movie franchises like Star Wars, The Avengers and James Bond, many risk management professionals have had to wait a few years for the next episode of the Zanders Risk Management Seminar.

The relevance of the yield curve

Creating a future stress scenario for the yield curve is not easily done. Above all, it is something that has to be done carefully, because it can have negative repercussions for a financial institution.