This paper introduces an integrated asset-liability management model that allows for the joint quantitative analysis of capital structure choices, pension fund allocation decisions and rational pricing of liabilities. We confirm that capital structure decisions have a substantial impact on the value of pension claims, and we provide a quantitative assessment of the mispricing induced by the use of an arbitrary regulatory discount rate. We also present a quantitative assessment of the asset substitution effect implied by a change in the pension fund allocation to risky assets taking place after the corporate and pension obligation claims have been issued.

中文翻译：

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资本结构选择、养老基金分配决策和负债流的合理定价

本文介绍了一种综合资产负债管理模型，该模型允许对资本结构选择、养老基金分配决策和负债的合理定价进行联合定量分析。我们确认资本结构决策对养老金索赔的价值有重大影响，并且我们对使用任意监管贴现率引起的错误定价进行了定量评估。我们还对公司和养老金债务债权发行后养老基金对风险资产的分配变化所隐含的资产替代效应进行了定量评估。