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Regulation of Pension Fund Credit Risk: Lessons from the Banking Sector

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Author Info

  • Pedro Americo Herbst

    (Faculdades IBMEC - RJ)

  • Antonio Marcos Duarte Júnior

    (Faculdades IBMEC - RJ)

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    Abstract

    This article examines the regulatory framework for managing the credit risk of pension funds in Brazil. We believe that the current framework is not very effective at controlling credit risk, and also overly limits the investment possibilities of pension fund managers. We consider the regulatory framework for banks as an alternative approach for future developments, and propose that the rules on credit risk exposure of pension funds and banks be made uniform. The resulting regulatory framework would be more effective and easy to monitor, facilitating the work of external supervision and auditing. Finally, we present a numerical example using real data on six Brazilian pension funds to illustrate the proposal.

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    File URL: http://www.bbronline.com.br/public/edicoes/4_2/artigos/mvg3vhm7xx1122010143558.pdf
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    Bibliographic Info

    Article provided by Fucape Business School in its journal Brazilian Business Review.

    Volume (Year): 4 (2007)
    Issue (Month): 2 (May)
    Pages: 132-148

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    Handle: RePEc:bbz:fcpbbr:v:4:y:2007:i:2:p:132-148

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    Web page: http://www.bbronline.com.br/
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    Keywords: pension funds; regulatory framework; credit risk;

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