Análisis del riesgo de mercado de los fondos de pensión en México Un enfoque con modelos autorregresivos

Martínez Preece Marissa R. () and Venegas Martínez Francisco ()
Additional contact information
Martínez Preece Marissa R.: Universidad Autónoma Metropolitana
Venegas Martínez Francisco: Instituto Politécnico Nacional
Authors registered in the RePEc Author Service: Francisco Venegas-Martínez

Contaduría y Administración, 2014, vol. 59, issue 3, 165-195

Abstract: The aim of this paper is to analyze the market risk of two types of investment funds, Basic SIEFORE 1 (SB1) and Basic SIEFORE 2 (SB2). To do this, we propose a performance index that will be used in ARIMA-GARCH models and some of its extensions, with the purpose of examining the dynamic behavior of the returns and their volatility on such investment funds. Moreover, the risk premium of both types of funds is analyzed. One of the relevant research results is that yields obtained by these funds in the period studied, are not sufficient to offset the additional risk assumed by the pension funds including equity components. Finally, some remarks are made, on investment policy, about the market risk and how it is being measured and managed in these funds.

Keywords: fondos de pensiones; SIEFORES; esquema de jubilación; riesgo de mercado; premio al riesgo (search for similar items in EconPapers)
JEL-codes: C22 C58 G23 G32 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.cya.unam.mx/index.php/cya/article/view/78 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:59:y:2014:i:3:p:165-195

Access Statistics for this article

Contaduría y Administración is currently edited by Francisco López-Herrera (Editors in Chief)

More articles in Contaduría y Administración from Accounting and Management Contact information at EDIRC.
Bibliographic data for series maintained by Alberto García-Narvaez (Technical Editor) ().