VaR Limits for Pension Funds: An Evaluation

Solange Berstein and Romulo Chumacero

MPRA Paper from University Library of Munich, Germany

Abstract: This paper evaluates the effects of imposing Value-at-Risk (VaR) limits and quantitative restrictions on portfolio choices in the context of a risk-based supervision framework for defined contribution pension funds. It shows the conditions under which VaR constraints are equivalent to constraints on volatility. The paper also presents some further considerations that regulators should take into account when adopting a risk-based supervision framework when contributions are mandatory and a significant part of the pension depends on the performance of past investments.

Keywords: Portfolio Choice; VaR (search for similar items in EconPapers)
JEL-codes: G11 G38 (search for similar items in EconPapers)
Date: 2010-04-10
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: VaR limits for pension funds: an evaluation (2012)
Working Paper: VaR Limits for Pension Funds: An Evaluation (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:22574

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