Securitized Risk Instruments as Alternative Pension Fund Investments

Olivia S. Mitchell and Kent Smetters

in The Pension Challenge

Published in print November 2003 | ISBN: 9780199266913
Published online August 2004 | e-ISBN: 9780191601323 | DOI:
 Securitized Risk Instruments as Alternative Pension Fund Investments

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This chapter discusses the design and valuation of non-traditional asset-backed securities (ABS) and derivatives. Non-traditional ABS and derivatives provide a new source of diversification, have attractive yields compared to conventional securities, and enable pension fund managers to take positions in risk-return tranches. However, securities are also characterised by highly skewed returns such that traditional capital asset pricing model benchmarking may give misleading results.

Keywords: asset-backed securities; pension fund investments; derivatives; securitisation; risk management

Chapter.  16519 words.  Illustrated.

Subjects: Financial Markets

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