Stress testing and asset allocation for pension fund
Autor(a) principal: | |
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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. |
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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 |
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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 |
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1799134896451485696 |