The Impact of Risk Aversion and Density of Contribution on the Comparison of Administrative Charges in Individual Account Pension Systems

2014 ◽  
Author(s):  
Luis Chavez-Bedoya
Keyword(s):  
Risk Aversion ◽  
Pension Systems ◽  
Individual Account ◽  
The Impact

scholarly journals Spillover Effect of Global Financial Cycle To Asset Markets in Asean-5 Countries: A Structural VAR Approach

2018 ◽  
Vol 2 (02) ◽  
pp. 1
Author(s):  
Sri Andaiyani ◽  
Telisa Aulia Falianty
Keyword(s):  
Risk Aversion ◽  
Capital Flows ◽  
Asset Prices ◽  
Emerging Market ◽  
Structural Var ◽  
Asset Markets ◽  
Equity Prices ◽  
Financial Cycle ◽  
Property Prices ◽  
The Impact

<p><em>An upsurge and volatility of capital flows to Emerging Asian Economies indicated that there is the potential effect of global financial cycle to emerging market. It provides an overview of investor risk aversion in short term investment after financial crisis 2008. Global financial cycle could have a significant impact to asset prices, including equity prices and property prices. Rey (2015) has triggered an interesting discussion about global financial cycle. She found that there was a global financial cycle in capital flows, asset prices and credit growth. This cycle was co</em><em>‐</em><em>moves with the VIX, a measure of uncertainty and risk aversion of the markets. Therefore, this study attempts to analyze empirically global financial cycle shocks, measured by the VIX, on equity prices and property prices in ASEAN-5, namely Indonesia, Malaysia, Singapore, Thailand and Philippines. We estimate quarterly frequency data from Q1 1990 to Q2 2016 with Structural Vector Autoregressive (SVAR) approach. The result of this study showed that global financial cycle has a negative significant impact on the ASEAN-5 asset markets, in spite of the response of shock differs by country and size. This result is consistent with ASEAN-5 as small open economies that remain vulnerable to the global factor. This study contributes to the literature in several ways. First, we identify not only cyclical expansions or contraction in asset markets but also the impact of global financial cycle to asset markets in ASEAN-5 countries. Second, we investigate whether there are heterogeneous responses of ASEAN-5 countries to global financial cycle shocks. Third, we also identify the pattern of cycle in ASEAN-5 countries</em>.</p><p><strong><em>J</em></strong><strong><em>EL Classification: </em></strong>F30, F37, F42</p><strong><em>Keywords: </em></strong><em>ASEAN, Asset Markets, Global Financial Cycle, SVAR</em>

scholarly journals Large-scale application of the flood damage model RAilway Infrastructure Loss (RAIL)

2016 ◽  
Vol 16 (11) ◽  
pp. 2357-2371 ◽  
Author(s):  
Patric Kellermann ◽  
Christine Schönberger ◽  
Annegret H. Thieken
Keyword(s):  
Risk Management ◽  
Risk Aversion ◽  
Flood Risk ◽  
Structural Damage ◽  
Large Scale ◽  
Damage Model ◽  
Flood Damage ◽  
Railway Infrastructure ◽  
Increased Risk ◽  
The Impact

Abstract. Experience has shown that river floods can significantly hamper the reliability of railway networks and cause extensive structural damage and disruption. As a result, the national railway operator in Austria had to cope with financial losses of more than EUR 100 million due to flooding in recent years. Comprehensive information on potential flood risk hot spots as well as on expected flood damage in Austria is therefore needed for strategic flood risk management. In view of this, the flood damage model RAIL (RAilway Infrastructure Loss) was applied to estimate (1) the expected structural flood damage and (2) the resulting repair costs of railway infrastructure due to a 30-, 100- and 300-year flood in the Austrian Mur River catchment. The results were then used to calculate the expected annual damage of the railway subnetwork and subsequently analysed in terms of their sensitivity to key model assumptions. Additionally, the impact of risk aversion on the estimates was investigated, and the overall results were briefly discussed against the background of climate change and possibly resulting changes in flood risk. The findings indicate that the RAIL model is capable of supporting decision-making in risk management by providing comprehensive risk information on the catchment level. It is furthermore demonstrated that an increased risk aversion of the railway operator has a marked influence on flood damage estimates for the study area and, hence, should be considered with regard to the development of risk management strategies.

scholarly journals FINANCIAL PROVISION OF THE PENSION SYSTEM IN THE EUROPEAN COUNTRIES AND UKRAINE UNDER GLOBALIZATION

2012 ◽  
Vol 8 (1) ◽  
pp. 73-80
Author(s):  
Tetiana Ivashchenko
Keyword(s):  
Pension System ◽  
Negative Impact ◽  
Financial Economic ◽  
European Countries ◽  
Pension Insurance ◽  
Pension Systems ◽  
The Social ◽  
System Functioning ◽  
The Impact

The most contradictions arise today over the pension system reforming. Each year the states spent significant resources to finance social and economic needs of the population. The positive effect of the nominal growth of the social and economic guarantees in Ukraine leveled nowadays in terms of financial, economic and political instability. Also the processes of depopulation have a very negative impact on the financial viability of the PAYG pension system. Given this, the research aim was to study and discuss tendencies in financial provision of the pension systems in the European countries and Ukraine under globalization. As a result in the process of research the main features of functioning and providing of the pension insurance systems in European countries and Ukraine were examined; the impact of the depopulation processes on the financial provision of the pension systems was determined; problems, related to introduction of the funded system of pension insurance were analyzed; the role of the minimum pension institute in provision of the effective pension system functioning was disclosed and recommendations in relation to optimization of pension insurance and providing сo-operation under globalization were developed.

Risk Aversion and Unemployment in an Open Economy

2000 ◽  
Vol 49 (2) ◽  
Author(s):  
Pia Weiß
Keyword(s):  
Risk Aversion ◽  
Open Economy ◽  
Small Open Economy ◽  
Risk Behaviour ◽  
Terms Of Trade ◽  
Individual Risk ◽  
Risk Averse ◽  
Search Frictions ◽  
Long Run ◽  
The Impact

AbstractThe paper analyses the impact which risk aversion has on a small open economy characterised by search frictions on the labour market. It is shown that the long-run qualitative effects caused by a terms-of-trade shock are independent of individual risk behaviour. As far as quantitative aspects are concerned risk aversion always leads to higher equilibrium employment; however the increase in unemployment due to a price shock is the higher the more risk-averse individuals are.

ASSET CORRELATIONS IN TURBULENT MARKETS AND THE IMPACT OF DIFFERENT REGIMES ON ASSET MANAGEMENT

2011 ◽  
Vol 28 (01) ◽  
pp. 1-23 ◽  
Author(s):  
GERMAN BERNHART ◽  
STEPHAN HÖCHT ◽  
MICHAEL NEUGEBAUER ◽  
MICHAEL NEUMANN ◽  
RUDI ZAGST
Keyword(s):  
Risk Aversion ◽  
Asset Management ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Dependence Structure ◽  
The Us ◽  
The Mean ◽  
Asian Market ◽  
Asset Classes ◽  
The Impact

In this article, the dependence structure of the asset classes stocks, government bonds, and corporate bonds in different market environments and its implications on asset management are investigated for the US, European, and Asian market. Asset returns are modelled by a Markov-switching model which allows for two market regimes with completely different risk-return structures. Using major stock indices from all three regions, calm and turbulent market periods are identified for the time period between 1987 and 2009 and the correlation structures in the respective periods are compared. It turns out that the correlations between as well as within the asset classes under investigation are far from being stable and vary significantly between calm and turbulent market periods as well as in time. It also turns out that the US and European markets are much more integrated than the Asian and US/European ones. Moreover, the Asian market features more and longer turbulence phases. Finally, the impact of these findings is examined in a portfolio optimization context. To accomplish this, a case study using the mean-variance and the mean-conditional-value-at-risk framework as well as two levels of risk aversion is conducted. The results show that an explicit consideration of different market conditions in the modelling framework yields better portfolio performance as well as lower portfolio risk compared to standard approaches. These findings hold true for all investigated optimization frameworks and risk-aversion levels.

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