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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

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

Olivia S. Mitchell (Contributor Webpage)

Kent Smetters (Contributor Webpage)

Oxford University Press

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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