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VaR Limits for Pension Funds: An Evaluation

  • Solange Berstein
  • Rómulo Chumacero

    ()

    (Studies Division, Chilean Pension Supervisor)

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
Download Restriction: no

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
Contact details of provider: Web page: http://www.spensiones.cl/

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  1. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
  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. Romulo CHUMACERO & Solange BERSTEIN, . "Quantifying the Costs of Investment Limits for Chilean Pension Funds," EcoMod2004 330600038, EcoMod.
  4. Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers 0162, Econometric Society.
  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. 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.
  7. repec:cup:cbooks:9780521586054 is not listed on IDEAS
  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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