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VaR Limits for Pension Funds: An Evaluation

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Author Info

  • Solange Berstein
  • Rómulo Chumacero

    ()
    (Studies Division, Chilean Pension Supervisor)

Abstract

Este artículo evalúa los efectos de un límite de Value-at-Risk (VaR) y de límites cuantitativos sobre la selección de cartera en el contexto de un marco de supervisión basada en riesgo (SBR). Se muestran las condiciones bajo las cuales una restricción de VaR es equivalente a restricciones de volatilidad. El artículo también muestra algunas consideraciones que los reguladores debiesen tomar en cuenta al adoptar un marco de SBR..

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File URL: http://www.spensiones.cl/redirect/files/doctrab/DT00026.pdf
File Function: Revised version, 2008
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Bibliographic Info

Paper provided by Superintendencia de Pensiones in its series Working Papers with number 26.

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Date of creation: May 2008
Date of revision: May 2008
Handle: RePEc:sdp:sdpwps:26

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Web page: http://www.spensiones.cl/
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Related research

Keywords: Portfolio choice; VaR.;

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References

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  1. Solange M. Berstein & Rómulo A. Chumacero, 2006. "Quantifying the costs of investment limits for Chilean pension funds," Fiscal Studies, Institute for Fiscal Studies, vol. 27(1), pages 99-123, March.
  2. Suleyman Basak & Alexander Shapiro, 1999. "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-032, New York University, Leonard N. Stern School of Business-.
  3. Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Working Papers 2000-05, Centre de Recherche en Economie et Statistique.
  4. Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Working Papers 2000-05, Centre de Recherche en Economie et Statistique.
  5. Alexander, Gordon J. & Baptista, Alexandre M., 2002. "Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1159-1193, July.
  6. Guidolin, Massimo & Timmermann, Allan G, 2004. "Term Structure of Risk Under Alternative Econometric Specifications," CEPR Discussion Papers 4645, C.E.P.R. Discussion Papers.
  7. LeRoy,Stephen F. & Werner,Jan, 2001. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9780521586054, April.
  8. Enrico De Giorgi, . "A Note on Portfolio Selection under Various Risk Measures," IEW - Working Papers 122, Institute for Empirical Research in Economics - University of Zurich.
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Citations

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Cited by:
  1. Solange Berstein, 2011. "Implementación de la Reforma Previsional en Chile," Working Papers 45, Superintendencia de Pensiones, revised Apr 2011.
  2. Solange Berstein & Olga Fuentes & Nicolás Torrealba, 2011. "La Importancia de la Opción por Omisión en los Sistemas de Pensiones de Cuentas Individuales," Working Papers 44, Superintendencia de Pensiones, revised Jan 2011.
  3. Solange Berstein & Olga Fuentes & Nicolás Torrealba, 2010. "Sistema de Pensiones de Capitalización Individual: ¿Cómo Mitigar Riesgos?," Working Papers 35, Superintendencia de Pensiones, revised Feb 2010.
  4. Solange Berstein & Olga Fuentes & Nicolás Torrealba, 2010. "In an Individually Funded Pension System: How Can Risks Be Mitigated?," Working Papers 36, Superintendencia de Pensiones, revised Feb 2010.

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