Regensburg 2010 – wissenschaftliches Programm
Bereiche | Tage | Auswahl | Suche | Downloads | Hilfe
SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 15: Financial Markets and Risk Management I
SOE 15.3: Vortrag
Mittwoch, 24. März 2010, 17:00–17:30, H44
Some considerations on dependency of measures of risk on frequency and granularity and consequences for pension funds — •Uli Spreitzer1 and Vladimir Reznik2 — 1Bonus Pensionskassen AG, Traungasse 14-16, 1030 Vienna, Austria — 2Watson Wyatt Heissmann GmbH, Abraham-Lincoln-Str. 22, 65189 Wiesbaden, Germany
Beside the well known discussion on what is the most reasonable measure of risk (e.g. not VaR, Artzner [1]) most pensions funds (or Pensionskasse in Austria) must face the problem that: their investment horizont isn't infinite, they must reinvest with a certain granularity, they have cash flow with a certain granularity, and they must publish results for performance and risk at certain points in time to compete against other competitioners and to inform customers and financial authorities, also. The frequency of all these processes is different and often scaling of measures of risk according to Brown movement is used. Considering coherent and non coherent measures of risk and optimization processes using these measures of risk, we show, how frequency dependence can be estimated much better. Using these results, we will show, how pension fund investment processes, which must consider events with at least two different granularities (investment and payment) can be optimized. [1] P. Artzner, F. Delbaen, J.M. Eber, and D. Heath. Coherent measures of risk. Mathematical Finance, 9: 203ff,1999.