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A risk management framework and model for pension investment funds

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  • Sovan Mitra

Abstract

Risk management in finance is an increasingly important area, which has been highlighted in the midst of the global credit crisis. In this paper, we propose a new risk management model for pension investment funds: a risk management framework and risk measure based on modelling the pension fund value as an option. We review risk management, discussing risk management frameworks and risk management measures. We discuss the advantages of our option-based risk management model and framework and conduct numerical experiments on our pension fund portfolio. We show that our risk management framework and model provides advantageous insight into managing pension funds.

Suggested Citation

  • Sovan Mitra, 2010. "A risk management framework and model for pension investment funds," International Journal of Business Continuity and Risk Management, Inderscience Enterprises Ltd, vol. 1(4), pages 301-316.
    • Handle: RePEc:ids:ijbcrm:v:1:y:2010:i:4:p:301-316
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