Sustaining in Uncertain Time: Investigating Pension Fund Performance during Market Stress
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F25%3A10505930" target="_blank" >RIV/00216208:11320/25:10505930 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=mWyzbl_vz5" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=mWyzbl_vz5</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.5755/j01.ee.36.1.36796" target="_blank" >10.5755/j01.ee.36.1.36796</a>
Alternative languages
Result language
angličtina
Original language name
Sustaining in Uncertain Time: Investigating Pension Fund Performance during Market Stress
Original language description
The academic discourse on stress in the global economy and financial markets has ignited discussions regarding regulatory oversight of pension fund management and investment strategies. This study investigates how pension funds (PF) respond to short-term and long-term risks, as well as their recovery periods following market shocks. To address these inquiries, we classify financial market stress, considering both short-term and long-term risks. Utilizing the change point detection technique and Bayesian average (Zhao et al., 2019), we analyse shifts in the dynamics of PF values managed by SEB and Swedbank from 2004 to 2023. The research explores not only timings and the number of change points but also their likelihood over time. Drawdowns, recovery rates, and timing ratios are particularly insightful for assessing PF performance during crises and market disturbances. These findings contribute to the understanding of PF behaviour in various market conditions and underscore the significance of adaptive investment strategies in navigating financial uncertainties.
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Engineering Economics
ISSN
1392-2785
e-ISSN
2029-5839
Volume of the periodical
36
Issue of the periodical within the volume
1
Country of publishing house
LT - LITHUANIA
Number of pages
17
Pages from-to
96-112
UT code for WoS article
001435153800006
EID of the result in the Scopus database
2-s2.0-86000347924