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Long Term Risk Assessment in a Defined Contribution Pension System

  • Pablo Castañeda


    (Studies Division, Chilean Pension Supervisor)

Una de las consecuencias más importantes de la reforma chilena de pensiones realizada a principios de los 80s fue la transferencia de una porción significativa del riesgo asociado al financiamiento de las pensiones, desde el Estado, hacia los afiliados del nuevo sistema obligatorio. En este artículo se desarrolla un marco analítico que permite incorporar el comportamiento del administrador de fondos en la medición del riesgo de largo plazo de su estrategia de inversión, en donde esta última medición se realiza desde el punto de vista de un afiliado al sistema que tiene preferencias definidas por el monto de su pensión final. El problema del administrador de fondos es caracterizado como un problema de selección de cartera dinámico y su solución es utilizada como insumo para cuantificar la exposición a la que está sometido el afiliado al sistema de pensiones. Los resultados de un ejercicio de simulación muestran que mientras menos averso al riesgo es un individuo, mayor es su Riqueza-en-Riesgo (definida como la compensación monetaria que lo deja indiferente en relación a su mejor alternativa externa), resultado que se explica por el hecho que la mejor alternativa externa del afiliado se incrementa relativamente más que el beneficio que obtiene por la pensión provista por el administrador de fondos. La misma lógica está detrás de la relación negativa que se encuentra entre el nivel de volatilidad del activo riesgoso y el nivel de riesgo al que está expuesto el afiliado..

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Paper provided by Superintendencia de Pensiones in its series Working Papers with number 20.

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Date of creation: Oct 2007
Date of revision: Oct 2007
Handle: RePEc:sdp:sdpwps:20
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