VaR Limits for Pension Funds: An Evaluation
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- Solange M. Berstein & Rómulo A. Chumacero, 2012. "VaR limits for pension funds: an evaluation," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1315-1324, May.
- Solange Berstein & Rómulo Chumacero, 2008. "VaR Limits for Pension Funds: An Evaluation," Working Papers 26, Superintendencia de Pensiones, revised May 2008.
References listed on IDEAS
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Cited by:- 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.
- Solange Berstein, 2011. "Implementación de la Reforma Previsional en Chile," Working Papers 45, Superintendencia de Pensiones, revised Apr 2011.
- Han, Yingying & Gong, Pu & Zhou, Xiang, 2016. "Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 940-953.
- repec:eee:finlet:v:22:y:2017:i:c:p:20-29 is not listed on IDEAS
- 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.
- 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.
More about this item
Keywords
Portfolio Choice; VaR;JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2010-05-22 (All new papers)
- NEP-RMG-2010-05-22 (Risk Management)
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