A risk management framework and model for pension investment funds

Sovan Mitra

International Journal of Business Continuity and Risk Management, 2010, vol. 1, issue 4, 301-316

Abstract: Risk management in finance is an increasingly important area, which has been highlighted in the midst of the global credit crisis. In this paper, we propose a new risk management model for pension investment funds: a risk management framework and risk measure based on modelling the pension fund value as an option. We review risk management, discussing risk management frameworks and risk management measures. We discuss the advantages of our option-based risk management model and framework and conduct numerical experiments on our pension fund portfolio. We show that our risk management framework and model provides advantageous insight into managing pension funds.

Keywords: options; pension investment funds; risk management; risk measures; pensions; modelling; pension fund management. (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbcrm:v:1:y:2010:i:4:p:301-316

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