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2020/2021 KAN-CCMVV2603U Investment Policy and Risk Management in Pension Funds
| English Title | |
| Investment Policy and Risk Management in Pension Funds |
Course information |
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| Language | English |
| Course ECTS | 7.5 ECTS |
| Type | Elective |
| Level | Full Degree Master |
| Duration | One Semester |
| Start time of the course | Autumn |
| Timetable | Course schedule will be posted at calendar.cbs.dk |
| Study board |
Study Board for MSc in Economics and Business
Administration
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| Further information: https://studentcbs.sharepoint.com/CEMS/Pages/Valgfag-paa-CBS_DK.aspx | |
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| Last updated on 03-06-2020 | |
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| Learning objectives | ||||||||||||||||||||||||
Explain and evaluate how various business models
for pension funds relate to strategic objectives, risk appetite,
investment policy and risk management objectives
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| Course prerequisites | ||||||||||||||||||||||||
| Undergraduate courses in statistics, mathematics, portfolio theory and investment theory. | ||||||||||||||||||||||||
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The course will treat general issues related to investment policy and risk management in pension funds. It will be discussed how investment policy and risk management should be anchored in the business model and strategic objectives.
As pension funds are long term investors investment policy is also long term and risk metrixs should reflect this. However, pensions funds must also remain solvent and liquid and risk management must balance long and short term objectives. Regulatory demands must also be taken into account (Solvency II rules).
Pension funds invest in various asset classes to optimize risk adjusted returns and policyholders’ long-term interests. In the course we will analyze a number of approaches pension funds apply to obtain these goals. Furthermore performance analysis will be used to evaluate strategies.
To get "hands on" qualifications students will have to carry out a number of exercises. |
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Literature (preliminary):
Risk Management and financial institutions, Third Edition, John Hull, Wiley Finance 2012
Strategic Asset Allocation, Portfolio Choice for Long-Term Investors, p. 1-119, John. Y. Campbell and Luis M. Viceira, Oxford University Press 2002
Collection of relevant articles including but not limited to
i)Robert C. Merton, The Crisis in Retirement Planning, July-August 2014, Harvard Business Review ii)Wai Lee, Constraints and Innovations for Pension Investment: The Cases of Risk Parity and Risk Premia Investing, SPRING 2014, THE JOURNAL OF PORTFOLIO MANAGEMENT iii)MARIE BRIÈRE AND OMBRETTA SIGNORI, Inflation-Hedging Portfolios: Economic Regimes Matter, THEJOURNAL OF PORTFOLIO MANAGEMENT SUMMER 2012 iv) Andre Perold, William Sharpe, Dynamic Strategies for Asset Allocation, Financial Analyst Journal, January-February 1995 v) Principles for an Effective Risk Appetite Framework, Financial Stability Board 18. November 2013 |
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