It is important that the boards and managements of the pension companies understand the underlying risks in relation to a given investment or liability. Otherwise they may be in for a nasty shock one day. A case in point is the failure of LTCM in 1998.
Long-Term Capital Management was a large US hedge fund specialising in building up large geared positions across several markets, financed via loans from numerous US and European financial institutions. LTCM sought to exploit imperfections in the market. The success of the strategy depended on a number of assumptions concerning the underlying market correlations and volatilities.