This paper empirically assesses the impact of liquidity and capital constraints on the allocation of defined benefit pension funds to illiquid assets. Liquidity constraints result from short-term pension payments and collateral requirements on derivatives. Capital constraints follow from the requirement to retain sufficient capital to absorb unexpected losses. Liability duration and hedging affect the allocation to illiquid assets through both these constraints.

Jaar van uitgave:

2017

Publicatie:

DNB Working Papers

Auteurs:

Dirk Broeders
Kristy Jansen
Bas Werker

Onderzoeksproject:

Beleggingsresultaten van niet-liquide activa op lange termijn

Website:

www.dnb.nl/nieuws/publicaties-dnb/dnb-working-papers-reeks/dnb-working-papers/working-papers-2017/dnb357089.jsp