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Asset Risk in a Liability Context: An Empirical Study for the Netherlands

  • Conference paper
Financial Modelling

Part of the book series: Contributions to Management Science ((MANAGEMENT SC.))

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Abstract

We consider the position of an institutional investor, especially a pension fund. The investment process of a pension fund is a derived function: primarily it insures the pension rights of the (former) employees. Therefore the liabilities of the pension fund should guide the long term investment process. This implies that the analysis should not focus on absolute risk but on relative risk: to what degree does the value of the assets move in line with the value of the liabilities. Only the risks of the liabilities that cannot be matched by an appropriate asset mix are relevant. In short: when evaluating the financial position of a pension fund, one should concentrate on the value and the risks of the surplus, i. e. the value of the assets minus the value of the liabilities.

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Author information

Authors and Affiliations

  1. Department of Finance, Erasmus University Rotterdam, P.O. Box 1738, NL-3000 DR, Rotterdam, Netherlands

    Paul C. van Aalst, Winfried G. Hallerbach, Margot E. T. A. van der Velden & Erwin A. C. van der Voort

Authors
  1. Paul C. van Aalst
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  2. Winfried G. Hallerbach
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  3. Margot E. T. A. van der Velden
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  4. Erwin A. C. van der Voort
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Editor information

Editors and Affiliations

  1. Istituto di Metodi Quantitativi, Università Commerciale Luigi Bocconi, via U. Gobbi, 5, I-20136, Milano, Italy

    Lorenzo Peccati

  2. Department of Economics, University of Turku, SF-20500, Turku, Finland

    Matti Virén

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© 1994 Physica-Verlag Heidelberg

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van Aalst, P.C., Hallerbach, W.G., van der Velden, M.E.T.A., van der Voort, E.A.C. (1994). Asset Risk in a Liability Context: An Empirical Study for the Netherlands. In: Peccati, L., Virén, M. (eds) Financial Modelling. Contributions to Management Science. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-86706-4_5

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  • DOI: https://doi.org/10.1007/978-3-642-86706-4_5

  • Publisher Name: Physica-Verlag HD

  • Print ISBN: 978-3-7908-0765-3

  • Online ISBN: 978-3-642-86706-4

  • eBook Packages: Springer Book Archive

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