Showing 1 - 10 of 317
Underfunding of defined benefit (DB) pension schemes is prevalent throughout the Western world, and no more so than Ireland. This paper examines underfunding of DB schemes and discusses alternative ways of overcoming this problem. It critically reviews alternative government sponsored insurance...
Persistent link: https://www.econbiz.de/10010907468
This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, such as banks and insurance companies, operate and asks why pension funds are...
Persistent link: https://www.econbiz.de/10005836386
This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, such as banks and insurance companies, operate and asks why pension funds are...
Persistent link: https://www.econbiz.de/10008876805
This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, such as banks and insurance companies, operate and asks why pension funds are...
Persistent link: https://www.econbiz.de/10009143699
Persistent link: https://www.econbiz.de/10005397429
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties....
Persistent link: https://www.econbiz.de/10005398881
This study presents nonparametric estimates of spectral risk measures (SRM) applied to long and short positions in five prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value‐at‐Risk and Expected Shortfall. The SRMs are...
Persistent link: https://www.econbiz.de/10011197412
Persistent link: https://www.econbiz.de/10010833838
This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based measures for their performance in following trend inflation and...
Persistent link: https://www.econbiz.de/10005619385
This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk (VaR) and Expected Shortfall (ES). The spectral risk...
Persistent link: https://www.econbiz.de/10005789672