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Long Term Risk Assessment in a Defined Contribution Pension System

Author

Listed:
  • Pablo Castañeda

    (Studies Division, Chilean Pension Supervisor)

Abstract

Una de las consecuencias más importantes de la reforma chilena de pensiones realizada a principios de los 80s fue la transferencia de una porción significativa del riesgo asociado al financiamiento de las pensiones, desde el Estado, hacia los afiliados del nuevo sistema obligatorio. En este artículo se desarrolla un marco analítico que permite incorporar el comportamiento del administrador de fondos en la medición del riesgo de largo plazo de su estrategia de inversión, en donde esta última medición se realiza desde el punto de vista de un afiliado al sistema que tiene preferencias definidas por el monto de su pensión final. El problema del administrador de fondos es caracterizado como un problema de selección de cartera dinámico y su solución es utilizada como insumo para cuantificar la exposición a la que está sometido el afiliado al sistema de pensiones. Los resultados de un ejercicio de simulación muestran que mientras menos averso al riesgo es un individuo, mayor es su Riqueza-en-Riesgo (definida como la compensación monetaria que lo deja indiferente en relación a su mejor alternativa externa), resultado que se explica por el hecho que la mejor alternativa externa del afiliado se incrementa relativamente más que el beneficio que obtiene por la pensión provista por el administrador de fondos. La misma lógica está detrás de la relación negativa que se encuentra entre el nivel de volatilidad del activo riesgoso y el nivel de riesgo al que está expuesto el afiliado..

Suggested Citation

  • Pablo Castañeda, 2007. "Long Term Risk Assessment in a Defined Contribution Pension System," Working Papers 20, Superintendencia de Pensiones, revised Oct 2007.
    • Handle: RePEc:sdp:sdpwps:20
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    References listed on IDEAS

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    Cited by:

    1. Opazo, Luis & Raddatz, Claudio & Schmukler, Sergio L., 2009. "The long and the short of emerging market debt," Policy Research Working Paper Series 5056, The World Bank.

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    More about this item

    Keywords

    Dynamic convex risk measure; Pension system; Portfolio selection.;
    All these keywords.

    JEL classification:

    • H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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