EBS: Finance最新文献

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Changing Risk Perception and the Time-Varying Price of Risk 变化的风险认知与时变的风险价格
EBS: Finance Pub Date : 2015-07-25 DOI: 10.2139/ssrn.1780204
Roland Füss, Thomas Gehrig, Philipp B. Rindler
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引用次数: 20
Embedded Option in Pension Funds: The Case of Conditional Indexation Policy 养老基金的嵌入期权:条件指数化政策的案例
EBS: Finance Pub Date : 2010-01-17 DOI: 10.2139/ssrn.1537889
Angela Gallo, Rosa Cocozza, Giuseppe Xella
{"title":"Embedded Option in Pension Funds: The Case of Conditional Indexation Policy","authors":"Angela Gallo, Rosa Cocozza, Giuseppe Xella","doi":"10.2139/ssrn.1537889","DOIUrl":"https://doi.org/10.2139/ssrn.1537889","url":null,"abstract":"The financial crisis of the beginning of the millennium and the recent crisis have led many pension funds to adopt different management approach to overcome the arising difficulties to maintain a solid financial status. Among these, the adoption of an indexation policy which is now conditional on the solvability of the fund have been widely adopted. Pension funds recognizing conditional inflation indexation targets are obliged to pay an additional payoff that is linked to the inflation rate through some specific rule. The additional payoff normally takes the form of a contingent claim conditional to a “measure” of sustainability of the payoff itself; in most cases, the measure is linked to an asset and liability ratio able to capture and guarantee the solvability of the fund itself. Therefore, a full valuation of the obligation towards fund’s participants and the definition of an optimal investment strategy cannot exclude the proper appraisal of this additional option. The option payoff is conditional to a measurement asset that is different from the reference underlying asset. This structure recalls a barrier option with different measurement and payoff asset. The paper investigates the opportunity to apply barrier option scheme to the case of a pension fund, whose indexation target is conditional to a specific value of the funding ratio, in order to provide a full valuation of the obligation towards participants. The main objective is to provide a value for the inflation indexation as embedded option. Results derive from a simulation procedure applied to an exemplar case by means of scenario-based analysis. Numerical results gives the opportunity to state the absolute value of the “inflation option” and the relative value with respect to the fund’s liability.","PeriodicalId":158562,"journal":{"name":"EBS: Finance","volume":"128 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122373150","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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