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

Ravil Akhtyamov

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 point-in-time SEC EDGAR balance-sheet fundamentals and two macro series, predicts a filings-based distress state one to two quarters ahead. On 36 U.S. sponsors in five sector groups (1,418 firm-quarters, 2015Q1-2025Q3) it reaches an out-of-fold AUC-ROC of 0.887 and PR-AUC of 0.711 (base rate 11.9%) under leave-one-firm-out cross-validation. A Monte Carlo VaR with a stylized transition-stress overlay shows that climate-type stress is negligible for a diversified plan but adds 20-43% to one-year 95% VaR when 22.5% of assets are held in sponsor securities. A dynamic self-investment cap maps the SVI to a limit that falls from 8% to below 1% in acute distress and recovers with the sponsor, which we illustrate on PG&E's 2019 bankruptcy and Boeing's persistent fragility. We report the method's failure modes alongside its results (book-equity labels that also fire on non-credit events such as…