Stress testing and asset allocation for pension fund

Detalhes bibliográficos
Autor(a) principal: Pinto, José Florêncio Ferreira
Data de Publicação: 2016
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/13747
Resumo: Stress testing is a useful and increasingly popular method of analysing the resilience of financial systems to adverse events. It has been introduced recently to the pensions sector, in some countries, as well. This dissertation aim is to present results from a stress testing based on three different scenarios, two of them with adverse financial market scenarios and the last one related with longevity. The main goals of this test are to observe the impact of the shocks applied to the prime financial assets available in the financial market and to understand their significance in the pension fund portfolio.
id RCAP_906e3368f672017bf9546a422f9a44f8
oai_identifier_str oai:repositorio.iscte-iul.pt:10071/13747
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Stress testing and asset allocation for pension fundStress testingPension fundDefined benefit schemeInflationRisk free rateLongevityAdverse scenariosRisk managementSupervisionStress testing is a useful and increasingly popular method of analysing the resilience of financial systems to adverse events. It has been introduced recently to the pensions sector, in some countries, as well. This dissertation aim is to present results from a stress testing based on three different scenarios, two of them with adverse financial market scenarios and the last one related with longevity. The main goals of this test are to observe the impact of the shocks applied to the prime financial assets available in the financial market and to understand their significance in the pension fund portfolio.O Teste de Stress é um método cada vez mais útil e popular de análise da resiliência dos sistemas financeiros a eventos adversos. Só recentemente, estes têm sido introduzidos, em alguns países, no sector dos Fundos de Pensões. Esta dissertação pretende apresentar os resultados de testes de stress com base em três diferentes cenários, dois deles baseados em panoramas adversos nos mercados financeiros e um relacionado com a longevidade de vida. Os principais objetivos deste teste são observar o impacto dos diversos choques aplicados aos principais ativos financeiros disponíveis no mercado e entender a sua significância junto dos Fundos de Pensões.2017-06-14T17:21:40Z2020-06-14T00:00:00Z2016-12-21T00:00:00Z2016-12-212016-10info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/13747TID:201482215engPinto, José Florêncio Ferreirainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T18:02:09Zoai:repositorio.iscte-iul.pt:10071/13747Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:33:26.284131Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Stress testing and asset allocation for pension fund
title Stress testing and asset allocation for pension fund
spellingShingle Stress testing and asset allocation for pension fund
Pinto, José Florêncio Ferreira
Stress testing
Pension fund
Defined benefit scheme
Inflation
Risk free rate
Longevity
Adverse scenarios
Risk management
Supervision
title_short Stress testing and asset allocation for pension fund
title_full Stress testing and asset allocation for pension fund
title_fullStr Stress testing and asset allocation for pension fund
title_full_unstemmed Stress testing and asset allocation for pension fund
title_sort Stress testing and asset allocation for pension fund
author Pinto, José Florêncio Ferreira
author_facet Pinto, José Florêncio Ferreira
author_role author
dc.contributor.author.fl_str_mv Pinto, José Florêncio Ferreira
dc.subject.por.fl_str_mv Stress testing
Pension fund
Defined benefit scheme
Inflation
Risk free rate
Longevity
Adverse scenarios
Risk management
Supervision
topic Stress testing
Pension fund
Defined benefit scheme
Inflation
Risk free rate
Longevity
Adverse scenarios
Risk management
Supervision
description Stress testing is a useful and increasingly popular method of analysing the resilience of financial systems to adverse events. It has been introduced recently to the pensions sector, in some countries, as well. This dissertation aim is to present results from a stress testing based on three different scenarios, two of them with adverse financial market scenarios and the last one related with longevity. The main goals of this test are to observe the impact of the shocks applied to the prime financial assets available in the financial market and to understand their significance in the pension fund portfolio.
publishDate 2016
dc.date.none.fl_str_mv 2016-12-21T00:00:00Z
2016-12-21
2016-10
2017-06-14T17:21:40Z
2020-06-14T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/13747
TID:201482215
url http://hdl.handle.net/10071/13747
identifier_str_mv TID:201482215
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/octet-stream
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799134896451485696

Registros relacionados