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Staff
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Hao Yu
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Position: ESPP Fellow
E-mail address: hao.yu@governance.unimaas.nl
Educational background
2002 - 2003 University
Maastricht, The Netherlands,
MSc. in Social Protection Financing
Master thesis: Internal Migration in
China-Regional Inequality, the HuJi
Institution and Challenges to the
Social Protection System
Research Interests
Time Series Analysis; Term Structure Models; Pension; Bootstrap; Model Programming (C++, Visual Basic)
Working Experience
Human Resource Management, Information System Administration
Abstract of Research
The Multiple Roles of Government in
Interest Rate Risks Management of
Pension Funds
As new
international accounting rule and
solvency II require applying market
interest rates to evaluating the
liability and asset of a pension
fund, interest rate risks management
becomes more significant to its
solvency/liquidity condition. The
new situation challenges the
multiple roles of government as a
supervisor (pension fund financial
framework supervision), a
participator (government bond
issuance) and an intervener (tax
policy and monetary policy
implementation). We want to apply
time series analysis to
investigating the correlations
between each government
interventions as well as their
congregated impacts on interest rate
risks of pension funds under new
accounting rules. And how can the
government harmonize its multiple
roles to mitigate interest rate
risks of pension funds? Empirical
analysis focuses on the comparison
of government interventions on
interest rate risks management of
pension funds among U.S., U.K.,
France and the Netherlands,
considering the difference in
pension fund financial framework,
financial market volatility, tax and
monetary policy implementation and
inflation-indexed bond issuance. The
case study will explore the impacts
of Dutch government interventions on
interest rate risks management of
ABP, which is mainly financed by
Dutch government, under the new FTK
and whether the Dutch government
should issue certain
inflation-indexed bond to facilitate
hedging interest rate risks.
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