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Early Detection of Pension-Sponsor Distress from Public Filings: A Sponsor Vulnerability Index, Stress-Augmented VaR, and Dynamic Self-Investment Caps

Akhtyamov, Ravil
arXiv (All) · Papers
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machine-learningrisk-management
A defined-benefit pension is only as safe as its sponsor, yet sponsor distress is under-instrumented relative to plan-side modelling. We present a transparent, reproducible early-warning pipeline built entirely on public data. A Sponsor Vulnerability Index (SVI), a gradient-boosted classifier over p
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