Financial crisis: a new measure for risk of pension funds assets
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References listed on IDEAS
- Sergio, Bianchi & Alessandro, Trudda, 2008. "Global Asset Return in Pension Funds: a dynamical risk analysis," MPRA Paper 12011, University Library of Munich, Germany, revised 14 Jun 2008.
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Keywordspension funds; risk control; multifractional brownian motion;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGE-2012-12-06 (Economics of Ageing)
- NEP-ALL-2012-12-06 (All new papers)
- NEP-BAN-2012-12-06 (Banking)
- NEP-RMG-2012-12-06 (Risk Management)
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