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Akému veľkému trhovému riziku čelíme v 2. pilieri na Slovensku?
Title Akému veľkému trhovému riziku čelíme v 2. pilieri na Slovensku? Par.title How much market risk do we face in second pension pillar in Slovakia? Author info Jan 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 Headings Geogr. Slovensko Language Slovak Country Czech Republic systematics 33 Annotation DC 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 Copy 38895 Catal.org. BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici Database xpca - PUBLIKAČNÁ ČINNOSŤ 
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