The subject for this paper is the Class Action against Skandia Association, a civil organization formed in 2003 with the aim of claiming compensation for some 1.2 million life insurance customers. The background to its formation was one of the largest financial scandals in Sweden in recent times, involving a number of questionable affairs within the insurance corporation Skandia and its subsidiaries, most notably the life insurance company Skandia Liv. The interests of both the stake- and stockholders of the company seem, in certain ways, to have been grossly misrepresented. The scandal, as well as the reaction it spawned, pose a number of questions. In this study, we focus on two: a possible, and in many ways apparent crisis in the representation of interests in Swedish society, and the role of civil society in upholding the balance between these interests. We argue that what is often held to be the ”greed” or ”immorality” of individuals in scandals such as Skandia is, to a great extent, a mere reflection of the ”rational” underpinnings of modern-day capitalism. We find that trust has been a key mechanism of control in the relationships between consumers and agents in pension and life insurance markets, and that ”the Swedish model” that distinguished post-WWII Swedish society was a model heavily based on trust towards existing models of bureaucratic governance. Furthermore, the increase in social and technical complexity of the systems and relationships necessary of our individual and collective welfare, as well as the growing anonymity of the people we depend on, seem to have resulted in a gap that cannot be bridged without resorting to trust. We also find that elements of the Skandia scandal mirror a larger societal development in which the balance between interests has been disrupted, causing severe breaches of trust. Over time, and as a result of a largely global interplay between power and discourse, the Swedish model has undergone a considerable transition, gradually transforming elements of the underlying institutional foundations of both the market and the state. Such transitions, and the herein observed inability of both market and state to cope with them while maintaining the balance between interests of society as a whole, make us believe that the importance of a vital civil society cannot be understated. The Class Action against Skandia Association is a testament to its potential.

Value at Risk (VaR) approach has been extensively used by investment and commercial banks since its development by JP Morgan in 1990s. As time passes, it has become interesting to investigate whether VaR could be used also by other financial intermediaries like pension funds and insurance companies. The aim of this paper is to outline Value at Risk (VaR) methodology by giving more emphasis on parametric approach which is used for empirical section and to investigate the applicability and usefulness of VaR in pension funds. After providing theoretical framework for VaR approach, the paper continues with pension fund systems in general and especially highlights AP funds of Swedish National pension fund system by trying to show why VaR could be an invaluable risk management tool for these funds together with other traditional risk measures used. Based on this given theoretical frame, a practical application of VaR –parametric or covariance/variance method- is executed on 50 biggest investments in the fixed income and equity portfolios of three selected Swedish national pension funds – AP1, AP2 and AP3. Results of one day VaR (DEAR) estimations on 30/12/2005 for each fund have been presented and it is aimed to show the additional information that could be obtained by using VaR and which is not always apparent from other risk measures employed by funds. According to the two traditional risk measures which are active risk and Sharpe ratio; AP2 and AP3 lie in the same risk level for 2005 which can create a contradiction by considering their different returns. On the other hand, obtained DEAR estimates show their different risk exposures even with the 50 biggest investments employed. The results give a matching relationship between return of funds and DEAR estimates meaning that; the fund with the highest return has the highest DEAR value and the fund with the lowest return has the lowest DEAR value; which is consistent with the main rule- “higher risk, higher return”. Thus, we can conclude that VaR could be applied additionally to get a better picture about real risk exposures and also to get valuable information on expected possible loss together with other traditional risk measures used. Key words: Value at Risk, DEAR, Pension funds, Risk management, Swedish pension plan, AP1, AP2, AP3

In the past, when deciding the asset allocation, fund managers only concerned the factors of assets. This incomplete way may let pension funds not cover their liabilities. To solve this problem we integrate the factors which influence fund¡¦s assets and liabilities and focus on surplus, which means assets minus liabilities. We use Surplus Optimization Model and Immunization Theory to construct our Liability Driven Investment and Dual Duration Matching Model. We decompose duration to real interest rate duration and inflation rate duration to control the sources of interest rate. Through this method, we can enhance the efficiency of asset allocation to ensure paying pension annuity punctually and avoid the risk of interest rate. Our sample period is Sept. 2001 to Aug. 2005 and sampling frequency is monthly. We use the common investment tools, stocks index, government bond index, 5 years corporate bonds, 3 years bank deposit, 30 days commercial papers, to be the assets we can allocate. We discover that when using liability driven investment and duration matching the longer years we consider the longer assets duration we need. Because government bond index¡¦s duration is shorter than stocks index¡¦s. When we consider longer years the weight of government bond index will decrease and the weight of stocks index will increase. When considered years are 50, the weight of government bond index is 54.74% and the weight of stocks index is 45.26%. The ratio of equity assets to fixed income assets is 84.51% that is similar with pension fund¡¦s ratio, 86.13%. No matter how many years we consider, the weight of bonds is high. But in pension funds¡¦ target allocation the weight of bonds is only 16% and the weights of bank deposit and T-bills are 31%. To take immunization strategy and improve the long term revenue, a large proportion should be allocated from bank deposit and T-bills to bonds.

ο σκοπός της εργασίας συνίσταται σε μια προσπάθεια ανάδειξης του σημαντικότατου προβλήματος της βιωσιμότητας και της συνέχισης της συνταξιοδοτικής λειτουργίας των ασφαλιστικών ταμείων-οργανισμών σε σχέση με την διαχείριση (επένδυση) των assets τους μέσα από μία πρωτοποριακή θεωρία. Ταυτόχρονα συνδέεται το πρόβλημα αυτό με τις έννοιες της εταιρικής διακυβέρνησης ,εταιρικού ελέγχου, της θεωρίας συμβολαίων και την εφαρμογή τους στα pension funds .Επιχειρείται η παρουσίαση της σχετικά άγνωστης έννοιας της διαχείρισης κινδύνου αρχικά σφαιρικά και έπειτα από οικονομική πλευρά . Το μεγαλύτερο τμήμα της εργασίας αναλώνεται στη παρουσίαση της θεωρίας του καθηγητή R.J.Shiller για ένα νέο είδος αγορών που προτείνεται σαν μία επενδυτική λύση για ατομικούς επενδυτές και για ασφαλιστικά ταμεία . Η διπλωματική αυτή εργασία χωρίζεται σε 3 μέρη: Στο πρώτο μέρος παρουσιάζεται η έννοια , ο σκοπός των ασφαλιστικών ταμείων πως διακρίνονται, η ιστορική τους πορεία και το πρόβλημα που έχει δημιουργηθεί. Γίνεται επιπλέον μία αναφορά στα επίκαιρα ομόλογα. Στο δεύτερο κομμάτι μέσω παραδειγμάτων γίνεται κατανοητή η έννοια αρχικά του κινδύνου και της διαχείρισης κινδύνου στην οικονομία και την κοινωνία Στη τρίτο μέρος εξετάζεται η θεωρία του R.J.Shiller για τις macromarkets. / The aim of this work is recommended to find and show the most important problem of viability and continuation of retirement operation of actuarial funds-organisms concerning their assets management (investment) through a pioneering theory. Simultaneously connected this problem with the significances of corporate governing, corporate control, theory of contracts and their application in pension funds is attempted the presentation of the unknown theory of risk management initially in society and then from economic view. The bigger department of work is spent in the presentation of theory of professor R.J.Shiller about the beginning of a new market that is proposed as an investment solution for individual investors and for actuarial funds. This diplomatic work is separated in 3 parts: In the first part is presented the significance, the aim of actuarial funds that they are distinguished, their historical course and the problem that has been created. Also there is a small report for the bonds generally (2008). In the second piece via examples become comprehensible the significance of initially the risk management and the management of danger in the economy and the society In the third part is examined the theory of R.J.Shiller for macromarkets.

Viešojo sektoriaus ekonomikos magistro baigiamojo darbo tema aktuali tuo, jog Lietuvos visuomenė senėja, išlieka dideli emigracijos mastai, o gimstamumo lygis žemas. Todėl valstybei vis sunkiau spręsti pagyvenusių žmonių gerovės klausimą. Be to, cikliniai ekonomikos svyravaimai sukelia nedarbo lygio ir valstybės skolos augimą bei darbo užmokesčio mažėjimą. Nestabilios tampa ir finansų rinkos, todėl pablogėjusi fiskalinė padėtis, savaime suprantama, trikdo pensijų sistemos finansavimą, o investicijų grąžos ir turto vertės sumažėjimas trumpuoju laikotarpiu veikia (has implication – impact) pensijų kaupimo sistemų finansinę grąžą bei mokumą. Iki šiol nei vienai šaliai nepavyko sukurti pensijų sistemos, kuri neturėtų rimtų trūkumų, todėl tęsti studijas ir ieškoti geriausių sprendimų reformuojant pensijų sistemas yra prasminga. Šio darbo tikslas buvo įvertinti Lietuvos pensijų sistemos rezultatyvumą ir jos tvarumą ilgalaikėje perspektyvoje bei nustatyti sistemos tobulinimo kryptis. Siekiant įgyvendinti tikslą buvo identifikuotos esminės socialinės politikos modelių charakteristikos ir jų pritaikymas Lietuvai, aplinkos veiksniai, keliantys pensijų sistemos reformų poreikį,esamos pensijų sistemos spragos ir problemų sprendimo variantai. Išanalizavus problemą teoriniu lygmeniu, analitinėje dalyje empiriškai buvo patikrintos teorinės prielaidų teisingumas bei pateikdos rekomendacijos Lietuvos pensijų sistemai tobulinti. Išanalizavus teorinius pensijų sistemos rezultatyvumo aspektus... [toliau žr. visą tekstą] / The theme of Master‘s Work in Public Sector Economics deals with topical issues concerning ageing, emigration, low birthrate problems in Lithuania. Because of these factors the assurance of citizens social welfare is a complicating task for a State. Moreover, cyclical economics fluctuations cause the rise in public debt and unemployment level, also the fall in wages. Consequently financial markets become unstable and the worsen fiscal situation disturbs the sponsorship of pensions system. Moreover, the fall in investments change and value of assets in short run has impact on financial change of pensions funds and its paying capacity. Until now all of the states failed to create pensions system without serious drawbacks, so the extension of studies in search of best solutions for pensions system is still meaningful and even essential. The goal of this paper work was to evaluate the effectiveness of Lithuania‘s pensions system, its stability in the long run, and to sattle the improvement directions. In order to implement the goal the main characteristics of social policy models and its adaptability to Lithuania‘s pension system have been identified, the external factors causing the need of pensions systems reforms have been characterized, the drawbacks of present pensions system have been pionted out and the recommendations to eliminate it have been proposed. After making analysis of theoretical aspects of pensions systems effectiveness and later testing it empirically, the... [to full text]

Institutional investors are increasing their ownership in corporations and therefore their influence on financial markets is expanding. The Swedish public pension funds are one of Sweden’s largest institutional investors, holding capital for pension savers that amount to 1 123 billion Swedish Kronor. Media and non-governmental organizations’ attention on institutional investors’ corporate engagement have put pressure on their work with socially responsible investments. The Swedish public pension funds are no exception. Recent reports reveal that the pension funds are still owners in fossil fuel intensive corporations as well as firms connected with human rights violations. The aim of this study is to identify factors that influence pension funds’ view on socially responsible investments. Particular focus is directed towards the funds’ view on corporations that are highly involved in fossil fuel emissions. The study is presented as a case study in which a comparison of management between two of Sweden´s public pension funds is made in order to define how the attitude towards socially responsible investments affect the choices of instruments of influence that are used in corporate engagement. The findings of the study argue that the two funds use similar instruments of influence in their corporate engagement. However, differences in how the instruments are applied exist and the study reveals that the two funds’ approaches to corporations that are highly involved in fossil fuel emissions are different. Conclusions from the study are that the funds’ work with socially responsible investments is based on the mandate to serve the Swedish citizens and manage their retirement money in a desirable way. The study argues that the funds’ view on socially responsible investments is based on their role as representatives for the majority of individuals in Sweden and that the funds actions, consequently, should reflect the majority opinion of the Swedish society.

<p>Value at Risk (VaR) approach has been extensively used by investment and commercial banks since its development by JP Morgan in 1990s. As time passes, it has become interesting to investigate whether VaR could be used also by other financial intermediaries like pension funds and insurance companies. The aim of this paper is to outline Value at Risk (VaR) methodology by giving more emphasis on parametric approach which is used for empirical section and to investigate the applicability and usefulness of VaR in pension funds. After providing theoretical framework for VaR approach, the paper continues with pension fund systems in general and especially highlights AP funds of Swedish National pension fund system by trying to show why VaR could be an invaluable risk management tool for these funds together with other traditional risk measures used. Based on this given theoretical frame, a practical application of VaR –parametric or covariance/variance method- is executed on 50 biggest investments in the fixed income and equity portfolios of three selected Swedish national pension funds – AP1, AP2 and AP3. Results of one day VaR (DEAR) estimations on 30/12/2005 for each fund have been presented and it is aimed to show the additional information that could be obtained by using VaR and which is not always apparent from other risk measures employed by funds. According to the two traditional risk measures which are active risk and Sharpe ratio; AP2 and AP3 lie in the same risk level for 2005 which can create a contradiction by considering their different returns. On the other hand, obtained DEAR estimates show their different risk exposures even with the 50 biggest investments employed. The results give a matching relationship between return of funds and DEAR estimates meaning that; the fund with the highest return has the highest DEAR value and the fund with the lowest return has the lowest DEAR value; which is consistent with the main rule- “higher risk, higher return”. Thus, we can conclude that VaR could be applied additionally to get a better picture about real risk exposures and also to get valuable information on expected possible loss together with other traditional risk measures used.</p><p>Key words: Value at Risk, DEAR, Pension funds, Risk management, Swedish pension plan, AP1, AP2, AP3</p>

[pt] Em 2013, a Resolução CMN 4.275 alterou a redação da Resolução CMN 3.792 que determina as diretrizes dos investimentos dos fundos de pensão brasileiros. No âmbito dos investimentos imobiliários, um dos efeitos da nova Resolução foi a vedação imposta às entidades fechadas de previdência complementar (EFPCs) em adquirir participação superior a 25 por cento de imóvel que se encontre em fase de construção. Tal limitação desencoraja os fundos de pensão a adquirirem imóveis que não estejam totalmente construídos, uma vez que a compra de apenas 25 por cento do imóvel colocaria a entidade na condição de sócio minoritário, comprometendo sua ingerência no ativo e prejudicando aspectos de governança no imóvel. Havendo interesse na compra do ativo, vislumbra-se a possibilidade de o investidor institucional, dentro da nova regulação, adquirir uma opção de compra de percentual do ativo que lhe confira a posição de sócio majoritário, ou seja, a aquisição entre 51 por cento e 100 por cento do imóvel, com vencimento na data em que o ativo estiver construído. Dentro desse cenário, o presente estudo pretende apresentar a opção de compra como alternativa para viabilizar a aquisição desse tipo de ativo, calculando o valor justo do prêmio a ser pago por essa opção. O resultado obtido mostrou que o prêmio para aquisição de opção nos percentuais de participação majoritária varia de cerca de 1,15 por cento (para 51 por cento do imóvel) a 2,29 por cento (para 100 por cento do imóvel) do valor total do ativo o que, a nosso ver, inviabiliza a possibilidade de negócio nesse formato, pois os valores de prêmios encontrados não se mostram atrativos para o incorporador que precisa arcar com os custos da construção. Sendo assim, havendo interesse dos fundos de pensão em investir em imóveis em construção em percentual acima de 25 por cento, como limita a atual legislação em vigor, sugere-se encaminhar ao órgão regulador pedido de revisão da instrução solicitando que tal limite seja aplicado ao total de recursos do plano de benefícios em vez de considerar o valor total de um mesmo empreendimento, sob a alegação de ajustar os investimentos ao porte de cada plano de benefícios. / [en] In 2013, Resolution CMN 4,275 amended the wording of Resolution CMN 3,792, which determines the guidelines for investments of Brazilian pension funds. In the context of real estate investments, one of the effects of the new Resolution was the prohibition imposed on closed-end private pension entities (EFPCs) in acquiring more than 25 percent of the property that is under construction. Such a limitation discourages pension funds from acquiring real estate that is not fully constructed, since the purchase of only 25 percent of the property would place the entity as a minority partner, disturbing its involvement in the asset and impairing governance aspects of the property. If there is an interest in the purchase of the asset, it is possible for the institutional investor, within the new regulation, to acquire a call option in a percentage of the asset that gives it the majority shareholding position, that is, the acquisition between 51 percent and 100 percent of the property, with maturity on the date the asset is built. Within the scenario, this study, presents the call option as an alternative to enable the acquisition of type of asset, calculating the fair value of the premium to be paid by option. The result obtained showed that the premium for the acquisition of the option in the percentage of majority ownership varies from about 1.15 percent (to 51 percent of the property) to 2.29 percent (for 100 percent of the property) of the total value of the asset, in our view, makes the possibility of a business in this format unfeasible, since the values of premiums found are not attractive to the developer who has to bear the construction costs. Therefore, since pension funds have an interest in investing in real estate under construction in a percentage above 25 percent, as it limits current legislation, it is suggested that the regulatory body request a revision of the instruction requesting that such limit be applied to the total of benefit plan resources instead of considering the total value of the same enterprise, under the assumption of adjusting the investments to the size of each benefit plan.

[pt] Os fundos de pensão passaram a ter importante papel como articulador estratégico no controle de grandes empresas nacionais, a partir do processo de privatização iniciado nos anos 90. Desde então, as fundações adotaram uma atitude mais ativista em relação à governança corporativa através da participação em assembleias e nos assentos dos Conselhos. O estudo sobre a relação entre a participação acionária de fundos de pensão e ganhos de governança corporativa, valor e desempenho em empresas ainda é latente quando aplicado ao Brasil. Esta dissertação tem por objetivo identificar a existência de associação entre presença de fundos de pensão e a avaliação da governança corporativa, valor e desempenho das empresas que possuem participação daqueles. No período analisado, o mercado acionário brasileiro experimentou um movimento de aumento de volume de investimentos estrangeiros, de abertura de capital das empresas e de adesão aos seus segmentos especiais de governança. Os resultados da pesquisa não permitem afirmar que há relação estatisticamente significativa entre a atuação dos fundos de pensão e as práticas de governança tampouco entre a governança corporativa e o desempenho operacional e valor das empresas participadas. / [en] Pension funds have been given an important strategic role as the articulator in control of large national companies from the privatization process started in the 90s. Since then, the foundations have adopted an activist attitude in relation to corporate governance through participation in meetings and in the seats of the councils. Research on the relationship between ownership of pension funds and gains in corporate governance, performance and value in companies is still lagging when applied to Brazil. This paper aims to identify the association between the presence of pension funds and evaluation of corporate governance, performance and value of companies. Over the last decade, the Brazilian stock market has experienced a movement of increased volume from foreign investment, increased capital investment from local companies and their adherence to special segments of governance. We do not find any significant influence that the presence of the Brazilian pension funds as relevant shareholders is associated to higher corporate governance scores neither between corporate governance and performance and value of Brazilian companies.

CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel Superior / Os fundos de pensÃo movimentam elevado volume de recursos em nome de terceiros, envolvendo milhÃes de trabalhadores, pelo que, considera-se que estas entidades devem adotar altos padrÃes de governanÃa a fim de proporcionar credibilidade aos envolvidos. As boas prÃticas de governanÃa contribuem para a harmonizaÃÃo de interesses dos envolvidos e para o funcionamento adequado dos fundos de pensÃo. A GovernanÃa Corporativa consiste em um sistema por meio do qual as entidades sÃo administradas, monitoradas e incentivadas, buscando resguardar as partes interessadas, como sÃcios, conselho de administraÃÃo, diretoria e ÃrgÃos de controle. A Teoria Institucional oferece mÃltiplas percepÃÃes pertinentes à investigaÃÃo das pressÃes institucionais e das consequentes aÃÃes organizacionais, as quais, quando expostas a conjunturas semelhantes tendem a assemelhar-se, remetendo-se ao isomorfismo institucional. Este se classifica em coercitivo, oriundo de pressÃes externas formais ou informais; mimÃtico, quando as organizaÃÃes tomam outras como modelo, devido à incerteza; ou normativo, por pressÃes sociais ou profissionais. Tendo em vista a visÃo do isomorfismo coercitivo, segundo a qual as prÃticas obrigatÃrias tendem a ser adotadas por todas as empresas envolvidas, considerou-se neste estudo a fragilidade na regulamentaÃÃo brasileira pertinente Ãs prÃticas de governanÃa dos fundos de pensÃo. Portanto, este estudo fundamenta-se no pressuposto de que a divulgaÃÃo das prÃticas de governanÃa corporativa adotadas pelos fundos de pensÃo brasileiros apresenta lacunas, sendo divulgadas principalmente aquelas prÃticas decorrentes de pressÃes institucionais coercitivas. Assim, esta pesquisa objetiva analisar as prÃticas de governanÃa corporativa adotadas e divulgadas pelos fundos de pensÃo brasileiros e provÃveis explicaÃÃes à luz da Teoria Institucional. Para tanto, utilizou-se de anÃlise documental, coletando-se material nos portais eletrÃnicos dos fundos de pensÃo estudados. Em seguida, procedeu-se à anÃlise de conteÃdo dos materiais obtidos. Os dados coletados foram alvo de estatÃstica descritiva analisando-se as prÃticas de governanÃa dos fundos com base no isomorfismo. Em seguida, verificou-se a associaÃÃo entre os fundos a partir das prÃticas e categorias de governanÃa por meio da anÃlise de clusters, buscando posturas isomÃrficas. Obteve-se como resultado que os fundos de pensÃo brasileiros tendem a adotar e divulgar predominantemente as prÃticas de governanÃa legalmente impostas, remetendo-se ao isomorfismo coercitivo. Observa-se ainda que a idade, o tamanho dos fundos em termos de ativo e o patrocÃnio sÃo variÃveis que estÃo correlacionadas com as prÃticas voluntÃrias, incorrendo no isomorfismo mimÃtico. / Pension funds move a great amount of resources on behalf of third parties, which involve millions of workers, and, therefore, it is considered that such entities should adopt high standards of governance in order to have credibility for all those involved. Good governance practices contribute to more harmony among interests by those involved and for the proper functioning of pension funds. Corporate governance consists of a system by means of which entities are administrated, monitored and supported, while safeguarding all interested parties such as owners, administration councils, directors and controlling organs. Institutional theory offers multiple perceptions belonging to the investigation of institutional pressures and subsequent organizational actions, which, when exposed to similar conjunctures, tend to resemble each other, which leads to institutional isomorphism. Such isomorphism might be classified as coercive, when it originates from formal or informal outer pressure; mimetic, when organizations take others as role models, due to uncertainty; or normative, when it is caused by social or professional pressure. Considering the fragility in the Brazilian regulation concerning governance practices in pension funds, in the coercive isomorphism vision, this study is based on the hypothesis that the disclosure of corporate governance practices adopted by Brazilian pension funds presents blanks, and most practices disclosed are due to coercive institutional pressure. Thus, this research aims at analyzing corporate governance practices adopted by Brazilian pension funds and likely explanations by the light of Institutional Theory. In order to do that, documental analysis was used, and the internet portals of studied pension funds provided the documents. Then, there was the analysis of content in the material obtained. As a consequence, descriptive statistics was applied in order to assess, based on isomorphism, governance practices by pensions. Subsequently, there was the verification of fund associations based on governance practices and categories by means of cluster analysis in a search for isomorphic behavior. The result obtained was that Brazilian pension funds tend to adopt and disclose predominantly the governance practices which are legally imposed, which leads to coercive isomorphism. It is also observed that age, and size of funds in terms of assets and sponsorship are variables which are related to voluntary practices, which will also lead to mimetic isomorphism.