VaR Limits for Pension Funds: An Evaluation
AbstractThis paper evaluates the effects of imposing Value-at-Risk (VaR) limits and quantitative restrictions on portfolio choices in the context of a risk-based supervision framework for defined contribution pension funds. It shows the conditions under which VaR constraints are equivalent to constraints on volatility. The paper also presents some further considerations that regulators should take into account when adopting a risk-based supervision framework when contributions are mandatory and a significant part of the pension depends on the performance of past investments.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 22574.
Date of creation: 10 Apr 2010
Date of revision:
Portfolio Choice; VaR;
Other versions of this item:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
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