Financial Risk Manager Part 2

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Which of the following statements about risk management in the pension fund industry is correct?

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A

A pension plan's total VaR is equal to the sum of its policy-mix VaR and active management VaR.

B

Pension fund risk analysis does not consider performance relative to a benchmark.

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C

In most defined-benefit pension plans, if liabilities exceed assets, the shortfall does not create a risk for the plan sponsor.

D

From the plan sponsor's perspective, nominal pension obligations are similar to a short position in a bond.

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