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Adaptive Strategies for Pension Fund Management
Emmanuel Candes / Peter R. Fisher / Raphael Chinchilla / Stephen Boyd / Thomas D. Rueter / Timothy R. McDade / Trevor Hastie
pensions / risk managementResource overview

Adaptive Strategies for Pension Fund Management

Paper2025

by Emmanuel Candes, Peter R. Fisher, Raphael Chinchilla, Stephen Boyd, Thomas D. Rueter, Timothy R. McDade, Trevor Hastie

Tags
pensionsrisk management

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Suggested foundations for risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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