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Reorienting Retirement Risk Management$
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Robert L. Clark and Olivia S. Mitchell

Print publication date: 2010

Print ISBN-13: 9780199592609

Published to Oxford Scholarship Online: September 2010

DOI: 10.1093/acprof:oso/9780199592609.001.0001

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Risk Budgeting for the Canadian Pension Plan Investment Board

Risk Budgeting for the Canadian Pension Plan Investment Board

(p.217) Chapter 12 Risk Budgeting for the Canadian Pension Plan Investment Board
Reorienting Retirement Risk Management

Sterling Gunn

Tracy Livingstone

Oxford University Press

This chapter recounts the experience of the Canada Pension Plan Investment Board in designing and implementing its Risk–Return–Accountability Framework and risk budgeting. The implementation of a classic risk budgeting framework integrated with existing processes in the investment group investing in publicly traded liquid assets, but it proved to be problematic for investment groups investing in illiquid assets. Firm risk targets were established for publicly traded investments, but the team developing the risk budgeting program developed risk forecasts to better fit the business model of private investments and real estate.

Keywords:   Defined benefit pension, asset management, illiquid assets, risk targets, risk budgeting

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