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Risk Analysis of Individual Pension Funds in Turkey

Individual pension systems offered voluntarily or compulsorily to individuals throughout the world in the 1980s, while allowing individuals to earn additional income that will enable them to achieve high levels of welfare during their retirement, it contributes to the development and deepening of the capital markets by directing the premiums collected from the participants to various money and capital market instruments through private pension mutual funds. There are many studies on individual pension systems in the literature, but there is no study about the risk analysis of private pension funds in Turkey. In this study, risk analysis of private pension funds in Turkey are made and it is aimed to determine the risk ranking of these funds both on the basis of type and among themselves. In accordance with this purpose; FIGARCH-CHUNG model was created to evaluate the risks of private pension funds. As a result of the analyzes, the risk ranking of the private pension funds, which consisted of 28 pieces and divided into 8 types, was calculated based on the period of 04.01.2010-31.12.2018.

Individual Pension Funds, Risk Analysis, Time Series Analysis, FIGARCH


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