Denmark's life insurance and pension fund sector has carved a reputation for sound risk management over the years. The country's pension funds are at the forefront of the drive towards liability-driven investment, and have vastly increased their use of interest rate swaps and swaptions since the turn of the decade to match their assets and liabilities. It wasn't always so.
In the 1990s, it was common for Danish pension fund and life insurance companies to offer guarantees on policies. In fact, mo