February 2017

04Feb

Pension Fund Reform and European Financial Markets

By E. Phillip Davis Pension reform is widely seen as essential in order to defuse the difficulties EU governments would otherwise face in respect of their social security pension systems in a context of population ageing. Particularly when such reform involves funding of future pensions, it may have radical implications for European financial markets, entailing important changes in the demand for financial assets by the private sector and qualitative developments in capital markets and banking which may impinge on banks...

February 4, 2017
Articles, Investing, Regulation,
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04Feb

New Architectures in the Regulation and Supervision of Financial Markets and Institutions: The Netherlands

By Henriëtte Prast & Iman Van Lelyveld In recent years, several European Union member states have modified the institutional design offinancial supervision. These reforms pose the question which considerations have led to the different models chosen in these countries. We analyse the considerations in the Netherlands leading to the choice in 2002 of the twin -peaks model of financial supervision. The new model is based on the objectives of supervision. Thus, a separate authority is responsible for conduct-ofbusiness supervision, whereas...

February 4, 2017
Articles, Regulation, Supervision, ,
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04Feb

Changes in Funding Patterns by Latin American Banking Systems: How Large? How Risky? – Working Paper 420

By Liliana Rojas-Suarez & José María Serena This paper investigates the shifts in Latin American banks’ funding patterns in the post-global financial crisis period. To this end, we introduce a new measure of exposure of local banking systems to international debt markets that we term: International Debt Issuances by Locally Supervised Institutions. In contrast to well-known BIS measures, our new metric includes all entities that fall under the supervisory purview of the local authority. This is especially important in Latin...

February 4, 2017
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04Feb

Do a Firm’s Equity Returns Reflect the Risk of Its Pension Plan?

By Zvi Bodie, Robert C. Merton & Li Jin This paper examines the empirical question of whether systematic equity risk of US firms as measured by beta from the capital asset pricing model reflects the risk of their pension plans. There are a number of reasons to suspect that it might not. Chief among them is the opaque set of accounting rules used to report pension assets, liabilities, and expenses. Pension plan assets and liabilities are off-balance sheet and are often...

February 4, 2017
Articles, Corporate Governance, Investing,
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04Feb

Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?

By Zvi Bodie, Robert C. Merton & Li Jin This paper examines the empirical question of whether systematic equity risk of US firms as measured by beta from the capital asset pricing model reflects the risk of their pension plans. There are a number of reasons to suspect that it might not. Chief among them is the opaque set of accounting rules used to report pension assets, liabilities, and expenses. Pension plan assets and liabilities are off-balance sheet and are often...

February 4, 2017
Articles, Corporate Governance, Investing,
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03Feb

Longevity Risk and Private Pensions

By Pablo Antolin This paper examines how uncertainty regarding future mortality and life expectancy outcomes, i.e. longevity risk, affects employer-provided defined benefit (DB) private pension plans liabilities. The paper argues that to assess uncertainty and associated risks adequately, a stochastic approach to model mortality and life expectancy is preferable because it permits to attach probabilities to different forecasts. In this regard, the paper provides the results of estimating the Lee-Carter model for several OECD countries. Furthermore, it conveys the uncertainty...

February 3, 2017
Aging, Articles, Investing, ,
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03Feb

Risky Choices: Simulating Public Pension Funding Stress with Realistic Shocks

By James Farrell, Daniel Shoag State and local government pension funds in the United States collectively manage a very large and diverse pool of assets to meet the even large sum of accrued liabilities. Recent research has emphasized that widely-used accounting practices, like matching discount rates to expected asset returns, understate the market value of these liabilities. Less work has explored the risks inherent in existing diverse set asset allocations, and the accounting practices used by most state and local...

February 3, 2017
Articles, Investing, Savings, ,
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03Feb

Market risk analysis for Mexico´s pension funds: an autoregressive approach

By Marissa Martínez and Francisco Venegas 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...

February 3, 2017
Investing, Savings,
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