Comparing Aggregate Investment Returns in Privately Managed Pension Funds

Tapia, Waldo

doi:10.1787/237833258822

Cited by 14 publications

(2 citation statements)

References 1 publication

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“…The third pillar encourages discretionary savings and is available to anyone who cares to supplement the retirement income provided by the first two pillars, in which case it might be either a privately or publicly managed pension system. While, the model has been introduced in more than 80 countries, only a few of them would qualify today as having a multi-pillar scheme such as that proposed originally by the World Bank (Andrews, 2006 this time, all workers should be covered by the new pension system, while it is assumed that by then the pension fund will be the biggest financial institution measured by assets in Poland (Kowalewski, 2008 While a cross-country study may be preferable, the results could be strongly biased, as differences in reporting and regulatory framework in the pension system are large across countries (Tapia, 2008).…”

Section: The Institutional Settingmentioning

confidence: 99%

Corporate Governance and Pension Fund Performance

Kowalewski¹

2012

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This study provides new evidence on the impact of governance on the performance of privately defined contribution pension plans. Using a hand collected data set on governance factors, the study shows that the external and internal governance mechanisms in pension plans are weak. One explanation for this weakness is the potential conflict between the pension beneficiaries and the fund’s owner, which depends on who bears the investment risk in the pension plan. Hence, different governance factors are found to be important for pension fund return on invested assets and also for its economic performance. Consequently, the overall policy conclusion is that more focus should be put on the governance of the pension funds, taking into account the different interests of the beneficiaries and owners as it may determine their performance

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Section: The Institutional Settingmentioning

confidence: 99%

Corporate Governance and Pension Fund Performance

Kowalewski¹

2012

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“…While a cross-country study may be preferable, the results could be strongly biased, as differences in reporting and regulatory framework in the pension system are large across countries (Tapia, 2008).…”

Section: The Institutional Settingmentioning

confidence: 99%

Corporate Governance and Pension Fund Performance

Kowalewski

2011

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. This study provides new evidence on the impact of governance on the performance of privately defined contribution pension plans. Using a hand collected data set on governance factors, the study shows that the external and internal governance mechanisms in pension plans are weak. One explanation for this weakness is the potential conflict between the pension beneficiaries and the fund's owner, which depends on who bears the investment risk in the pension plan. Hence, different governance factors are found to be important for pension fund return on invested assets and also for its economic performance. Consequently, the overall policy conclusion is that more focus should be put on the governance of the pension funds, taking into account the different interests of the beneficiaries and owners as it may determine their performance. Terms of use: Documents in EconStor may

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Tail risk in pension funds: an analysis using ARCH models and bilinear processes

Owadally

2013

Rev Quant Finan Acc

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Citation: Owadally, I. (2014). Tail risk in pension funds: An analysis using ARCH models and bilinear processes. Review of Quantitative Finance and Accounting, 43(2), pp. 301-331. doi: 10.1007/s11156-013-0373-9 This is the accepted version of the paper.This version of the publication may differ from the final published version. Abstract Pension funding rules and practice contain implicit smoothing and counter-cyclical mechanisms. We set up a stylized model to investigate whether this may give rise to tail risk, in the form of large but rare losses, when pension liabilities are imperfectly but optimally hedged by pension fund assets. We find that pension losses follow a nonlinear dynamic process, and we derive a complete description of the stochastic properties of this process using Markov chain and bilinear stochastic process theory. The resulting pension dynamics resembles that of a modified ARCH model, which Permanentsuggests that bursts in volatility may occur, and tail risk may be present. Simulations confirm that pension losses exhibit skewness, leptokurtosis and heavy tails, specially when cash flow smoothing is pronounced. Regulators and investors should be aware of the total amount of smoothing in pension funds as this may contribute to extreme losses, which may adversely affect the security of employee benefits as well as the valuation of firms with corporate pension plans.

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Comparing Aggregate Investment Returns in Privately Managed Pension Funds

Cited by 14 publications

References 1 publication

Corporate Governance and Pension Fund Performance

Corporate Governance and Pension Fund Performance

Corporate Governance and Pension Fund Performance

Tail risk in pension funds: an analysis using ARCH models and bilinear processes

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