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The Pension ChallengeRisk Transfers and Retirement Income Security$
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Olivia S. Mitchell and Kent Smetters

Print publication date: 2003

Print ISBN-13: 9780199266913

Published to Oxford Scholarship Online: August 2004

DOI: 10.1093/0199266913.001.0001

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Securitized Risk Instruments as Alternative Pension Fund Investments

Securitized Risk Instruments as Alternative Pension Fund Investments

Chapter:
(p.268) Chapter 13 Securitized Risk Instruments as Alternative Pension Fund Investments
Source:
The Pension Challenge
Author(s):

Olivia S. Mitchell (Contributor Webpage)

Kent Smetters (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199266913.003.0013

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

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