Abstract
This paper examines the relationship between funding risk of defined benefit pension plans and both corporate debt ratings and equity risk measures for FTSE100 companies. Panel based models highlighted a direct relationship between pension plan risk and equity risk. Pension risk was also demonstrated to be factored into credit ratings with the analysis highlighting that the greater the pension risk, the greater the probability of obtaining a lower debt rating. From a rating agency viewpoint, this is positive news, particularly at present when agencies are being criticized for a perceived failure to reflect sub-prime mortgage problems in firm-specific ratings.
| Original language | English |
|---|---|
| Pages (from-to) | 405-428 |
| Journal | Journal of Pension Economics and Finance |
| Volume | 8 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published (in print/issue) - 2009 |