The Outsourcing Risk of Taiwan Pension Fund
| Autor: | Su-Jen Chen, 陳素真 |
|---|---|
| Rok vydání: | 2002 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 90 This essay is to discuss the problems of pension funds in Taiwan that incur under the outsourcing mechanism. Due to the lack of incentive design in the legal structure and operating mechanism, the agent’s adverse selection and moral hazard will induce agent’s risk. Also, under current outsourcing operating mechanism, the assets allocation among different trustees is not centrally controlled, which will induce investment portfolio risk of the pension fund. This essay has discussed if the above mentioned agent’s risk and investment portfolio risk could be reduced by adopting the well-accepted trust legal structure in Europe and U.S. and the currently prevailing Value at Risk model. This essay has discovered that under the trust legal structure, the trustee is requested to take the responsibilities and duties of fiduciary. Any investment, management or utilization activity acted by trustee will have the beneficiary’s maximum interest as the only concern, so as to minimize the agent risk. By adopting the performance evaluation of the RAPM mechanism in Value at Risk model, we are able to evaluate the trustee risk and the investment performance under the return trade-off, so as to distribute the incentive management fee whereby reduce the agent risk at the same time. In additions, to solve the asset allocation problem of the pension fund that is outsourced and not able to be centrally managed, we could adopt the Value at Risk model, in which the risk allocation will replace asset allocation. And the total risk tolerance of the pension fund will be distributed to the trustee according to the assigned investment range percentage of itself. Therefore, the trustee institution can operate smartly for the pension fund in the distributed risk value range, in order to reach the best performance. In this case, the risk of the investment portfolio will be under control by the pension fund. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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