June 2018

11Jun

Optimal Risk-Sharing in Pension Funds When Stock and Labor Markets are Co-Integrated

By Ilja Boelaars (University of Chicago) & Roel Mehlkopf (Tilburg University) A well established believe in the pension industry is that collective pension funds should take more stock market risk (compared to individual retirement accounts) since risk may be shared with future generations. We extend the OLG model of Gollier (2008) by adding labor income risk in the spirit of Benzoni, Collin-Dufresne, and Goldstein (2007) and show that this idea may be misguided. For the empirical range of parameter values...

June 11, 2018
Articles, Investing, Labor Market, , ,
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04Jun

Systemic Risk: A Practitioner’s Guide to Measurement, Management and Analysis

By Malcolm H.D. Kemp Systemic Risk provides readers with a wide-ranging practical guide to systemic risk in the financial system. It challenges the notion that systemic risk is exclusively about interconnectivities within the financial system, showing that past systemic risk crises have often involved a broader range of vulnerabilities. It describes how regulators and governments are seeking to manage systemic risk, and how their concerns are driving change in regulatory and business environments across the financial sector. It sets out how...

June 4, 2018
Books, Management, Regulation,
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04Jun

Systemic Risk: A Practitioner's Guide to Measurement, Management and Analysis

By Malcolm H.D. Kemp Systemic Risk provides readers with a wide-ranging practical guide to systemic risk in the financial system. It challenges the notion that systemic risk is exclusively about interconnectivities within the financial system, showing that past systemic risk crises have often involved a broader range of vulnerabilities. It describes how regulators and governments are seeking to manage systemic risk, and how their concerns are driving change in regulatory and business environments across the financial sector. It sets out how...

June 4, 2018
Books, Management, Regulation,
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May 2018

07May

The Economist Guide To Investment Strategy 4th Edition: How to understand markets, risk, rewards and behaviour

By Peter Stanyer,‎ Stephen Satchell The classic guide for the individual investor, The Economist Guide to Investment Strategy sets out the basic - and the not-so-basic - principles for putting your wealth to work. It looks at risk, pointing out the hazards for those who wish to explore a variety of investment approaches. It also teaches the importance of sophisticated self-knowledge in finance, distilling insights from behavioural analysis as well as the principles of traditional finance. It highlights how habitual...

May 7, 2018
Books, Investing
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March 2018

19Mar

When I’m Sixty-four: The Plot Against Pensions and the Plan to Save Them

By Teresa Ghilarducci A crisis is looming for baby boomers and anyone else who hopes to retire in the coming years. In When I'm Sixty-Four, Teresa Ghilarducci, the nation's leading authority on the economics of retirement, explains how to confront this crisis head-on, revealing the causes behind the increasingly precarious economics of old age in America and proposing a bold plan to guarantee retirement security for every working citizen. Retirement is one of the hallmarks of a prosperous, civilized market...

March 19, 2018
Books, Pension design, Savings, ,
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February 2018

26Feb

Financial Economics Principles Applied to Public Pension Plans

By Edward Bartholomew (Independent), Jeremy Gold (Jeremy Gold Pensions), David G. Pitts (Independent) & Larry Pollack (Independent) Working from basic principles of economics, financial economics, and public finance, we develop implications for the financial management of public pension plans. We address the measurement of plan liabilities and cost, funding, investment of plan assets, financial reporting, benefit design and risk sharing. Our analysis seeks to maximize efficiency and preserve intergenerational equity. We conclude that full funding based on default-free discount rates...

February 26, 2018
Articles, Management, Pension design,
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19Feb

The Optimal Allocation of Longevity Risk with Perfect Insurance Markets

By Antoine Bommier (ETH Zürich) & Hélène Schernberg (ETH Zurich) This paper discusses the allocation of aggregate longevity risk in the case of perfect insurance markets. We show that the optimal allocation transfers some risk to the pensioners, even if pension providers have access to a perfect insurance market. Individuals prefer contributions and benefits to depend on the evolution of aggregate mortality rates rather than being fixed. Indeed, this flexibility offers an interesting diversification strategy where the prospect of a...

February 19, 2018
Aging, Articles, Labor Market, Management, Pension design, , ,
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January 2018

08Jan

Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses

By Marco Bianchetti (Intesa Sanpaolo - Financial and Market Risk Management; University of Bologna), Camilla Ricci (Intesa Sanpaolo-Financial and Market Risk Management) & Marco Scaringi (Intesa Sanpaolo - Financial and Market Risk Management) The growth of peer-to-peer exchanges and the blockchain technology has led to a proliferation of cryptocurrencies and to a massive increase in the number of investors who actually negotiate digital money. Cryptocurrencies trade at prices which is mainly driven by investor sentiment, becoming a potential source of...

January 8, 2018
Articles, Investing, , ,
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December 2017

30Dec

How to Invest and Spend Wealth in Retirement? A Utility-Based Analysis

By Servaas van Bilsen (University of Amsterdam), A. Lans Bovenberg (Tilburg University - Center for Economic Research (CentER); Centre for Economic Policy Research (CEPR); CESifo (Center for Economic Studies and Ifo Institute for Economic Research)) & Roger J. A. Laeven (University of Amsterdam - Amsterdam School of Economics) This paper explores the optimal consumption and investment behavior of a retiree who derives utility from the ratio between consumption and an endogenous habit. By developing a non-trivial linearization to the budget...

December 30, 2017
Articles, Investing, Savings, , ,
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04Dec

Securing Lifelong Retirement Income: Global Annuity Markets and Policy

By Olivia S. Mitchel Interest in longevity and longevity risk management is burgeoning, as government and regulatory agencies are increasingly conscious of the potential risks and benefits of longer lifespans. Commercial and industrial organizations, especially within the financial sector, are awakening to the opportunities presented by population aging, along with the new array of financial insurance instruments to manage longevity risk, which more sophisticated markets are making possible. This volume explores three main themes: the need for products to manage...

December 4, 2017
Books, Corporate Governance, Investing, Regulation, , ,
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