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2021/2022  KAN-CCMVV2603U  Investment Policy and Risk Management in Pension Funds

English Title
Investment Policy and Risk Management in Pension Funds

Course information

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
Course coordinator
  • Niels Henrik Pedersen - Department of Finance (FI)
Further information: https:/​/​studentcbs.sharepoint.com/​CEMS/​Pages/​Valgfag-paa-CBS_DK.aspx
Main academic disciplines
  • Finance
  • Economics
Teaching methods
  • Blended learning
Last updated on 25-01-2022

Relevant links

Learning objectives
Explain and evaluate how various business models for pension funds relate to strategic objectives, risk appetite, investment policy and risk management objectives
  • Be able to identify the main financial risks and relevant risk metrics from a regulatory and economic perspective
  • Have a high level understanding of VaR and stress models, capital requirement, capital plans and capital allocation
  • Be able to identify and evaluate typical investment strategies and the role of various asset classes in terms of risk and return characteristics
  • Analyse the link between assets and liabilities
Course prerequisites
Undergraduate courses in statistics, mathematics, portfolio theory and investment theory.
Investment Policy and Risk Management in Pension Funds:
Exam ECTS 7,5
Examination form Written sit-in exam on CBS' computers
Individual or group exam Individual exam
Assignment type Written assignment
Duration 4 hours
Grading scale 7-point grading scale
Examiner(s) One internal examiner
Exam period Winter
Aids Limited aids, see the list below:
The student is allowed to bring
  • Any calculator
  • In Paper format: Books (including translation dictionaries), compendiums and notes
The student will have access to
  • Access to Canvas
  • Advanced IT application package
Make-up exam/re-exam Home assignment - written product
Size of written product: Please see text below
Assignment type: Written assignment
Duration: Written product to be submitted on specified date and time.
Description of the exam procedure

Retake exam:


No max on pages. Students have 4 hours to complete the assignmnent.

Course content, structure and pedagogical approach

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.

Description of the teaching methods
Lectures and exercises
Feedback during the teaching period
Discussions during classes and through exercises
Student workload
Teaching 33 hours
Preparation 147 hours
Exam 26 hours
Expected literature

Literature (preliminary):


Risk Management and financial institutions, Fith Edition, John Hull, Wiley Finance 2018



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)Asness, Frazzini, Pedersen (2012) Leverage Aversion and Risk Parity:

iii)Arnot m.fl.: Alice's Adventures in Factorland: Three Blunders That Plaque Factor Investing, The Journal of Portfolio Management, April 2019

iv)Ron Alquist, Andrea Frazzini, Antti Ilmanen and Lasse Heje Pedersen: Fact and Fiction about low-risk investing, The journal of Portfolio Management, Multi Asset special issue 2020


V)David Greenberg, Abhilash Babu and Andrew Ang: Factors to Assets, Mapping Factor Exposure to Asset Allocations, , The journal of Portfolio Management, Special issue 2016

vi) Dynamic Management of Portfolio Risk, Mads Gosvig, Morten T. Kronborg og Ninna Reitzel Heegaard, November 14, 2019

Last updated on 25-01-2022