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

<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] Este trabalho pretende mostrar, ao administrador de empresas moderno, que itens considerar ao planejar e montar um plano de previdência privada. Este tipo de benefício espontâneo vem ganhando relevância, em um mercado de trabalho cada vez mais acirrado na busca e retenção de talentos, pois está consciente de que o Estado não pode ser o único provedor de recursos na fase da aposentadoria. A pesquisa mostra e compara as diversas modalidades disponíveis no Brasil e seus aspectos mais importantes. São também indicadas as tendências, na criação de novos planos, que atendam às necessidades de um mercado globalizado. Buscando comprovar, na prática, o que a teoria sobre o assunto indica, são feitas entrevistas, junto a profissionais brasileiros dessa área. Em seguida, mostra- se o resultado de uma pesquisa exploratória, realizada com funcionários de empresas privadas, que não possuem este tipo de benefício, a fim de descobrir, sob o ponto de vista desses empregados, que atributos julgam ser mais importantes, na criação de um plano de previdência privada. / [en] This research aims to show to the modern business administrator which items to consider when planning and designing a private pension plan. This sort of fringe benefit has had its relevance increased due to an everyday more competitive work market searching for and seeking to retain human talent. The persons with these talents have the conscience that the State Pens ion Plan (INSS) can not be their only financial source during retirement. The study shows and compares a set of different types of pension plans available today in Brazil and their more important characteristics. New trends in pension plan designing are also indicated to adapt to a globalized work market. Interviews were made with Brazilian professionals as part of the research to prove, in practice, theory about pension plans. Subsequently, results of exploratory research, made with employees that don't ha ve this kind of benefit, are shown. The goal is to point out the most important attributes of a private pension plan, from their point of view. / [es] Este trabajo pretende mostrar, al administrador de empresas moderno, qué puntos considerar al planificar y montar un plano de pensión privada. Este tipo de beneficio espontáneo ha ganado relevancia en un mercado de trabajo cada vez más acirrado en la búsqueda y retención de talentos, pués está consciente de que el Estado no puede ser la única fuente de recursos en la fase de retiro. La investigación muestra y compara diversas modalidades disponibles en Brasil y sus aspectos más importantes. Se indican también las tendencias, en la creación de nuevos planos, que atienden a las necesidades de un mercado globalizado.

Essay I: Credit Constraint and College Attendance.  This paper shows that housing wealth alleviate credit constraints for potential college attendees by enabling home owners to extract equity from their property and invest it in the education. Using a large US individual-level survey dataset over the 1996-2011 period, I find that one standard deviation increases of housing prices translate into approximately 72,000 more students enrolled in college each year. My results stay significant when I use proxies for aggregate housing demand shocks and for the topological elasticity of housing supply to generate variation in home equity that is assumed to be orthogonal to decision of going to college. Essay II: Income Inequality and Trade. Does trade with unskilled labor-abundant countries reduce the relative wages of U.S. unskilled labor and consequently cause increased income inequality across industries and regions? Empirical studies in the 1990s found only a modest effect. In this paper, I re-consider the question by using the income inequality measures constructed from Current Population Survey (CPS) data and analyzing the effect of rising Chinese import competition between 1993 and 2007 on US local labor markets. I find that areas which are more exposed to China imports competition have larger changes in income inequality. In my main specification, a $1,000 exogenous decadal rise in a MSA's import exposure per worker leads to a 1.5% increase in the logistic Gini. This re-distributive effect is more profound among non-college educated workers in manufacturing sectors.  Essay III: Employee as Creditor: Evidence from Defined Pension Plans. In this paper, I show the role of pension plans in shaping the firms' labor market decision. By employing the loan covenants violation and consequently transferring of control rights to creditors, I examine the strategic use of pension underfunding by firms and the resultant wage cuts. I also find that the wage concession is less severe for firms from industry with bigger bargaining power. This study sheds light on how firms strategically renegotiate labor contracts to extract concessions from labor. The evidence suggests that credit contracts between debt-holders and shareholders have spillover effects on non-financial stakeholders.

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O objetivo deste trabalho é verificar o impacto na alteração do regime previdenciário de repartição para um modelo misto, através da criação do fundo complementar previdenciário para os novos servidores federais no Brasil. O estudo apresenta os diagnósticos e os conceitos e modelos de previdência adotados no Brasil e sintetiza as experiências de países latino-americanos que reformaram seus respectivos regimes previdenciários com a finalidade de reduzir o déficit com os inativos. No caso brasileiro, após a promulgação da Constituição Federal de 1988 foram editadas duas Emendas Constitucionais (a de nº 20 de 1998 e a de nº 41 de 2003) que possibilitaram a criação, em 2012, da entidade fechada de previdência complementar, para os novos servidores públicos federais, chamada FUNPRESP. O estudo conclui que com o surgimento deste fundo, será possível equalizar os valores dos benefícios pagos entre os regimes geral e próprio. Nesse sentido, o teto dos benefícios de aposentadorias pagos do regime próprio dos servidores federais estará indexado ao valor do teto do regime geral de previdência social. Assim, caso o servidor decida suplementar ganhos acima deste teto, para fins de aposentadoria, ele deverá aderir ao fundo e contribuir, sobre o salário participação, em uma conta individualizada. Desta forma, o governo buscou garantir equidade nos pagamentos de benefícios entre os regimes de previdência geral e próprio, além de tentar reduzir o déficit das contas públicas previdenciárias no longo prazo. / The objective of the present paper is to check the impact on changing from the actual social security of federal pensions to a mixed model, through a creation of a defined contribution pension plan for new federal public employees in Brazil. The study show off diagnostics and exhibit the concepts of pension models adopted in Brazil and brief international experiences of countries that have altered their social pension schemes in Latin America, with object to reduce government deficits of inactive. In the Brazilian case, after the Federal Constitution of 1988, Constitutional Amendments were enacted (nº 20 of 1998 and nº 41 of 2003) which enabled the creation, in 2012, of a complementary retirement plan for new federal public employees, called FUNPRESP. The study concludes than with the emergence of this fund, it will be possible to equalize the amounts of benefits paid between pension schemes. Thereby, the remuneration limit of the benefits paid to the actual system of federal employees pensions will be indexed to the remuneration limit of the general social security. Therefore, if the public employee decides complement gains above this compensation limit, for pension purposes, they should choose to contribute with a quota to an individualized pension plan. So, the government tried to ensure equity in benefit payments between the pension schemes, as well as tried to reduce the deficit of the social security public finances in the long term.

為進一步保障勞工老年退休後經濟狀況無虞，維持其原本生活水平，行政院會於2011年12月29日通過《勞工退休金條例》修正草案，放寬企業開辦年金保險條件，企業規模在200人以上者，只要經工會或勞資會議同意，即可開辦企業年金保險，而勞工也可審視其收益狀況，選擇是否將個人退休金專戶轉換為企業年金保險。此項立法通過後，可望帶動壽險公司勞退自提部分企業年金保險商品的銷售商機。 站在勞工的角度來看，任職公司為職工規劃企業年金保險，可以讓員工提早為退休金做儲蓄，更專注於工作做努力。 從政府的角度觀察，為國內勞工做好規劃及監督與把關，更加健全、完善與更多選擇的退休金商品與制度，能給予勞工一個無憂無慮的退休生活，相對的能節省更多可能的社會福利支出，將政府資源投入國家基礎建設與經濟發展中。 站在壽險公司的方向研究，企業退休金市場的經營一直都是壽險公司所高度關注的一個區塊，只要提供適合的商品及規劃，企業為勞工、勞工為自己所提存的保費收入，是每月都會有穩定的現金流入，有利於壽險業做長期的投資規劃，再者透過企業年金保險制度的推廣，能接觸到更多的客戶與更加深入了解客戶的需求，便於設計出市場接受度高的商品，有利提供壽險公司的經營與投資績效。 最後從企業經營面來規劃，實施企業年金保險制度，能替員工提供一個更長久的退休計畫，為企業規劃一個更完善的員工獎勵制度與留才計畫；員工是企業最重要的資產，若未針對企業中的“人”此項有形資產加以運用，企業將不會產生任何無形的超額利益，本文希望藉由對企業年金保險制度之分析與介紹，期有助於國內壽險業發展企業年金保險與企業參酌實施企業年金保險制度之意願研究之參考。 / To have labors adapt to life after retirement, the Executive Yuan approved the Amendment of the Labor Pension Act on December 29, 2011. From the view of labors, it allows employees to start saving into pension ahead of time and focus more on work if the enterprise that one works for setting out an enterprise annuity insurance plan for its employees. From the government’s point of view, a good plan with constant monitoring and checking on makes a more complete pension funds system, which provides laborers with a better life after retirement. For insurance companies, as long as the insurance company provides suitable product and plan, the premium collected from what enterprises invested for employees and labour’ self-contribution will be stable cash flow on monthly basis, which is beneficial for insurance company to draw a long time investment plan. Finally, in terms of enterprise management, to carry out enterprise annuity insurance will provide employees with a retirement plan with long-term influence and will help to establish a complete reward system and a plan for retaining talent. Through the analysis and introduction of the enterprise annuity insurance in this article, it provides some suggestions for local insurance companies when it comes to develop the enterprise annuity insurance, and also some references for enterprises that are willing to put enterprise annuity insurance system into practice.

O objetivo deste trabalho é verificar o impacto na alteração do regime previdenciário de repartição para um modelo misto, através da criação do fundo complementar previdenciário para os novos servidores federais no Brasil. O estudo apresenta os diagnósticos e os conceitos e modelos de previdência adotados no Brasil e sintetiza as experiências de países latino-americanos que reformaram seus respectivos regimes previdenciários com a finalidade de reduzir o déficit com os inativos. No caso brasileiro, após a promulgação da Constituição Federal de 1988 foram editadas duas Emendas Constitucionais (a de nº 20 de 1998 e a de nº 41 de 2003) que possibilitaram a criação, em 2012, da entidade fechada de previdência complementar, para os novos servidores públicos federais, chamada FUNPRESP. O estudo conclui que com o surgimento deste fundo, será possível equalizar os valores dos benefícios pagos entre os regimes geral e próprio. Nesse sentido, o teto dos benefícios de aposentadorias pagos do regime próprio dos servidores federais estará indexado ao valor do teto do regime geral de previdência social. Assim, caso o servidor decida suplementar ganhos acima deste teto, para fins de aposentadoria, ele deverá aderir ao fundo e contribuir, sobre o salário participação, em uma conta individualizada. Desta forma, o governo buscou garantir equidade nos pagamentos de benefícios entre os regimes de previdência geral e próprio, além de tentar reduzir o déficit das contas públicas previdenciárias no longo prazo. / The objective of the present paper is to check the impact on changing from the actual social security of federal pensions to a mixed model, through a creation of a defined contribution pension plan for new federal public employees in Brazil. The study show off diagnostics and exhibit the concepts of pension models adopted in Brazil and brief international experiences of countries that have altered their social pension schemes in Latin America, with object to reduce government deficits of inactive. In the Brazilian case, after the Federal Constitution of 1988, Constitutional Amendments were enacted (nº 20 of 1998 and nº 41 of 2003) which enabled the creation, in 2012, of a complementary retirement plan for new federal public employees, called FUNPRESP. The study concludes than with the emergence of this fund, it will be possible to equalize the amounts of benefits paid between pension schemes. Thereby, the remuneration limit of the benefits paid to the actual system of federal employees pensions will be indexed to the remuneration limit of the general social security. Therefore, if the public employee decides complement gains above this compensation limit, for pension purposes, they should choose to contribute with a quota to an individualized pension plan. So, the government tried to ensure equity in benefit payments between the pension schemes, as well as tried to reduce the deficit of the social security public finances in the long term.

O objetivo deste trabalho é verificar o impacto na alteração do regime previdenciário de repartição para um modelo misto, através da criação do fundo complementar previdenciário para os novos servidores federais no Brasil. O estudo apresenta os diagnósticos e os conceitos e modelos de previdência adotados no Brasil e sintetiza as experiências de países latino-americanos que reformaram seus respectivos regimes previdenciários com a finalidade de reduzir o déficit com os inativos. No caso brasileiro, após a promulgação da Constituição Federal de 1988 foram editadas duas Emendas Constitucionais (a de nº 20 de 1998 e a de nº 41 de 2003) que possibilitaram a criação, em 2012, da entidade fechada de previdência complementar, para os novos servidores públicos federais, chamada FUNPRESP. O estudo conclui que com o surgimento deste fundo, será possível equalizar os valores dos benefícios pagos entre os regimes geral e próprio. Nesse sentido, o teto dos benefícios de aposentadorias pagos do regime próprio dos servidores federais estará indexado ao valor do teto do regime geral de previdência social. Assim, caso o servidor decida suplementar ganhos acima deste teto, para fins de aposentadoria, ele deverá aderir ao fundo e contribuir, sobre o salário participação, em uma conta individualizada. Desta forma, o governo buscou garantir equidade nos pagamentos de benefícios entre os regimes de previdência geral e próprio, além de tentar reduzir o déficit das contas públicas previdenciárias no longo prazo. / The objective of the present paper is to check the impact on changing from the actual social security of federal pensions to a mixed model, through a creation of a defined contribution pension plan for new federal public employees in Brazil. The study show off diagnostics and exhibit the concepts of pension models adopted in Brazil and brief international experiences of countries that have altered their social pension schemes in Latin America, with object to reduce government deficits of inactive. In the Brazilian case, after the Federal Constitution of 1988, Constitutional Amendments were enacted (nº 20 of 1998 and nº 41 of 2003) which enabled the creation, in 2012, of a complementary retirement plan for new federal public employees, called FUNPRESP. The study concludes than with the emergence of this fund, it will be possible to equalize the amounts of benefits paid between pension schemes. Thereby, the remuneration limit of the benefits paid to the actual system of federal employees pensions will be indexed to the remuneration limit of the general social security. Therefore, if the public employee decides complement gains above this compensation limit, for pension purposes, they should choose to contribute with a quota to an individualized pension plan. So, the government tried to ensure equity in benefit payments between the pension schemes, as well as tried to reduce the deficit of the social security public finances in the long term.

nÃo hà / O presente trabalho contribui na discussÃo do modelo de previdÃncia social brasileiro com foco no comportamento das famÃlias brasileiras em relaÃÃo Ãs contribuiÃÃes destinadas à previdÃncia complementar; mais especificamente, na modalidade do Plano Gerador de BenefÃcio Livre â PGBL, em face de sua importÃncia na tentativa de garantir o poder de compra e manutenÃÃo do padrÃo de qualidade de vida dos indivÃduos no futuro quando da reduÃÃo de sua capacidade laboral e sua contribuiÃÃo à economia brasileira, enquanto poupanÃa privada nacional. O estudo buscou identificar como as variÃveis econÃmicas nÃvel de renda per capta, Ãndice de pobreza da populaÃÃo, Ãndice de concentraÃÃo de renda, Ãndice de pobreza e quantidade de anos de estudo influenciam na captaÃÃo per capta mÃdia de contribuiÃÃes para a previdÃncia complementar, modalidade PGBL, utilizando-se de anÃlise de dados em painel. / This paper offers contribution to discussion of the Brazilian social welfare model with a focus on the behaviour of Brazilian families in relation to contributions for private pension plan, more specifically in the free benefit generator plan mode, in face of its importance in an attempt to ensure the purchasing power and maintaining the standard of quality of life of individuals in the future when there is a reduction in their labour capacity and in their contribution to the Brazilian economy while national private savings. The study aims to identify how economic variables such as per capita income level, poverty index of population, income concentration index, poverty rate and number of years of study influence on the funding per capita average of private pension contributions, free benefit generator plan mode, using panel data analysis.