Pensionskassernes Administration (PKA)
A controversial decision by Denmark's PKA to mark its assets and liabilities to market and hedge using derivatives was necessary and has proved correct Nicholas Dunbar reports
Peter Melchior, actuary and management board member of Pensionskassernes Administration (PKA), is blunt about the reaction he got after he marked the @13 billion Danish pension fund's assets and liabilities to market in 2001. "Some people said, 'Isn't this ridiculous?'", he recalls. "For example, they would say, because of some changes in the interest rate curve, our liabilities have changed by
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