Managing Downside Risk in Financial Markets. Theory, by Frank A. Sortino and Stephen E. Satchell (Eds.)

By Frank A. Sortino and Stephen E. Satchell (Eds.)

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To the participants, increases in risk result 30 Managing Downside Risk in Financial Markets because there is a correspondingly higher probability of insolvency. To the plan sponsor, increases in risk result because the possibility of mandatory premium contributions increases as well. As a consequence, the sponsors face higher contribution rate volatility. The main threat to all stakeholders is a shortfall relative to the minimum funding requirements, either now or in future time periods. For the plan sponsor this calls for additional premium contributions.

1 and 3) tends toward zero. Therefore, the bootstrapped returns are very likely uncorrelated. 2 DESCRIBING THE HISTOGRAM WITH THE LOGNORMAL CURVE Since the histogram gives a close approximation to all 2500 return values, we can approximate any useful statistic about the sample from the histogram. For example, we can calculate the mean, the standard deviation and any other useful measure of risk and return. The only information missing is the order in which the returns were generated. Since this histogram contains 100 bars it takes 102 numbers (the lowest value, the width of a bar, and the 100 heights) to define the histogram.

Moreover, the perception of risk involves preferences that can be highly individual. Several aspects of the risk involved should be considered. Once we have established the nature of the pension plan and its premium and investment policy, the main threat to all stakeholders is a shortfall relative to the minimum funding requirements, either now or in future time periods. For the plan participants, this calls for additional premium contributions. For the plan participants, this also involves the risk of lower future benefits.

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