Resumen
The aim of this paper is to analyze the market risk of two types of investment funds, Basic SIEFORE 1 (SB1) and Basic SIEFORE 2 (SB2). To do this, we propose a performance index that will be used in ARIMA-GARCH models and some of its extensions, with the purpose of examining the dynamic behavior of the returns and their volatility on such investment funds. Moreover, the risk premium of both types of funds is analyzed. One of the relevant research results is that yields obtained by these funds in the period studied, are not sufficient to offset the additional risk assumed by the pension funds including equity components. Finally, some remarks are made, on investment policy, about the market risk and how it is being measured and managed in these funds.
Título traducido de la contribución | Market risk analysis for Mexicós pension funds: An autoregressive approach |
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Idioma original | Español |
Páginas (desde-hasta) | 165-195 |
Número de páginas | 31 |
Publicación | Contaduria y Administracion |
Volumen | 59 |
N.º | 3 |
Estado | Publicada - 2014 |
Palabras clave
- C58
- G23
- G32
- Market risk
- Pension funds
- Pension systems
- Risk premium JEL classification: C22
- SIEFORES