Język Polski
English
Published
:
2010-02-28
Evluation of Value at Risk of Pension Capital on the Example of Openend Pension Funds
Jan Kaczmarzyk
Piotr Kania
Abstract
The essential features of the accumulation process of the pension capital was characterized in the article. The basic factors of risk associated with pension capital accumulation process were showed. The possibilities of utilization to the evaluation of this risk of the value at risk (VaR) were also presented. VaR application to the risk evaluation associated with the pension capital accumulation process was illustrated on the example of the market risk. Ten years' prediction of the pension capital accumulation process was executed on the basis of the historical data reflecting investment eficiency of open-end pension funds from 2000 to 2009. (original abstract)Keywords:
Open pension funds' investments, Pension funds, VaR methodMost read articles by the same author(s)
- Piotr Kania, Financing of the Social Insurance and Public Debt in Poland , Zeszyty Naukowe Wyższej Szkoły Bankowej w Poznaniu: Vol. 37 (2011)
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Kaczmarzyk, J., & Kania, P. (2010). Evluation of Value at Risk of Pension Capital on the Example of Openend Pension Funds. Zeszyty Naukowe Wyższej Szkoły Bankowej W Poznaniu, 26(26). Retrieved from https://journals.wsb.poznan.pl/index.php/znwsb/article/view/1668