Denmark has long been at the cutting edge of pension risk management. It was the first country to establish a fair value solvency standard with the introduction of the traffic light regulatory system in 2001. And when that happened, Copenhagen-based PKA became one of the first funds in the country to embark on an interest rate hedging programme when it invested in a batch of constant maturity swaps that proved a real boon in derisking its legacy interest rate guarantees.
And PKA has stayed at
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