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La gestion stratégique d’actifs d’un fonds de réserve face au risque financier

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  • Stéphane Hamayon
  • Florence Legros

Abstract

[fre] Les effets des récentes turbulences financières posent la question de la sensibilité du fonds de réserve pour les retraites à une crise boursière. Pour éclairer ce problème complexe, nous avons placé le fonds dans un environnement virtuel stylisé. Ainsi, tant la dynamique du prix des actifs risqués que celle du besoin de financement du régime par répartition que supplée le fonds ont été simulées. Cette modélisation nous a permis d’encadrer les stratégies de placement minimisant le risque de défaillance du fonds de réserve, puis d’analyser sa sensibilité face à un krach boursier. Les résultats suggèrent que la part des actions dans les allocations stratégiques a plutôt tendance à être sous-pondérée et nous alertent, par ailleurs, sur l’inquiétante faiblesse de l’abondement du fonds de réserve au regard de sa mission présumée.

Suggested Citation

  • Stéphane Hamayon & Florence Legros, 2008. "La gestion stratégique d’actifs d’un fonds de réserve face au risque financier," Revue d'Économie Financière, Programme National Persée, vol. 7(1), pages 205-217.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2008_hos_7_1_5208
    DOI: 10.3406/ecofi.2008.5208
    Note: DOI:10.3406/ecofi.2008.5208
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