Pension fund risk manager of the year: PKA

peter-damgaard-jensen

Pension fund valuation practices are going through a slow, deliberate revolution. Where that process ends up is still unclear, but Denmark’s PKA has already made a call – in late 2012, it became one of the first funds to start using swaps linked to euro overnight rates as the benchmark when hedging its liabilities. That follows a 2011 decision to re-engineer the credit support annexes (CSAs) governing collateral posting on its hedge portfolio – now also discounted using the