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Akému veľkému trhovému riziku čelíme v 2. pilieri na Slovensku?

  1. TitleAkému veľkému trhovému riziku čelíme v 2. pilieri na Slovensku?
    Par.titleHow much market risk do we face in second pension pillar in Slovakia?
    Author infoJan Šebo, Michal Mešťan, Ivan Králik
    Author Šebo Ján 1978- (34%) UMBEF15 - Katedra verejnej ekonomiky a regionálneho rozvoja
    Co-authors Mešťan Michal 1991- (33%) UMBEF04 - Katedra financií a účtovníctva
    Králik Ivan 1992- (33%) UMBEF15 - Katedra verejnej ekonomiky a regionálneho rozvoja
    Source document Nové trendy 2016 : sborník příspěvků, 11. ročník medzinárodní vědecké konference, Znojmo, 24. - 25. 11. 2016. S. 288-297. - Znojmo : Soukromá vysoká škola ekonomická, 2016 / Březinová Hana ; Borseková Kamila 1984- ; Dobrovodský Dušan ; Hrdý Milan ; Kout Petr ; Kožiak Radoslav 1978- ; Maráková Vanda 1976- ; Müllerová Libuše ; Plhoňová Věra ; Přibyl Martin ; Sanalla Markéta ; Vaňová Anna 1965- ; Vitálišová Katarína 1985- ; Nové trendy 2016 medzinárodná vedecká konferencia
    Keywords druhý pilier dôchodkového poistenia   finančné riziká - financial risks  
    Headings Geogr. Slovensko
    LanguageSlovak
    CountryCzech Republic
    systematics 33
    AnnotationDC based pension schemes shift various types of risks onto savers. Recently introduced DC based pension scheme in Slovakia has undergone several fundamental changes affecting investing strategies in pension funds. Understanding the market risk present in pension funds should allow savers to make better informed investment decision. We present the methodology of measuring the market risk by implementing two conventional methods, value-at-risk and expected shortfall. Further on, we create static as well as dynamic benchmark to assess the pension fund portfolio market risk against the market. We show that when a static benchmark is used, pension funds possess lower market risk than the whole market. However, if the dynamic benchmark is used, pension funds’ portfolios contain more market risk than the risk present on respective markets. This could indicate inefficient timing. Results could be elaborated further by implementing age profiles of savers allocating the contributions to the pens
    Public work category AFC
    No. of Archival Copy38895
    Repercussion category PADYSAK, Matus. Active versus passive : the case of Slovak guaranteed pension funds. In 8th international scientific conference of the economics, management and business 2023 : contemporary issues, insights and new challenges, Starý Smokovec, 28.-29. september 2023. Prešov : Prešovská univerzita v Prešove, 2023. ISBN 978-80-555-3215-8, pp. 763-772.
    Catal.org.BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici
    Databasexpca - PUBLIKAČNÁ ČINNOSŤ
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