Dirk Broeders

De Nederlandsche Bank

Senior Financial Risk Manager

P.O. Box 98

Amsterdam, 1000 AB

Netherlands

http://www.dnb.nl/en/research/personal-pages/dirk-broeders/

Maastricht University

Professor of Finance

P.O. Box 616

Maastricht, Limburg 6200MD

Netherlands

http://www.maastrichtuniversity.nl/about-um/faculties/school-business-and-economics

SCHOLARLY PAPERS

23

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3,455

SSRN CITATIONS
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Top 14,881

in Total Papers Citations

42

CROSSREF CITATIONS

34

Ideas:
“  I work on climate change uncertainty, risk management, central banking, monetary policy, factor investing, herding behavior in financial markets, risk sharing, illiquid assets allocations, return attribution, longevity risk and suptech.  ”

Scholarly Papers (23)

1.

Pension Funds and Drivers of Heterogeneous Investment Strategies

Number of pages: 69 Posted: 06 Sep 2019 Last Revised: 16 Apr 2021
Dirk Broeders and Kristy A.E. Jansen
De Nederlandsche Bank and Marshall School of Business - University of Southern California
Downloads 398 (113,260)
Citation 1

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factor exposures, liabilities, pension funds, portfolio choice, retirement income

Pension Funds’ Asset Allocation and Participant Age: A Test of the Life-Cycle Model

Number of pages: 19 Posted: 25 Aug 2009 Last Revised: 01 Oct 2011
De Nederlandsche Bank, De Nederlandsche Bank, Tilburg University - Tilburg University School of Economics and Management and Algemene Pensioen Groep (APG)
Downloads 208 (220,078)
Citation 3

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Pension funds, the Netherlands, strategic equity allocation, lifecycle saving and investing

Pension Funds’ Asset Allocation and Participant Age: A Test of the Life-Cycle Model

Netspar Discussion Paper No. 09/2009-032
Number of pages: 20 Posted: 20 Nov 2009
De Nederlandsche Bank, Tilburg University - Tilburg University School of Economics and Management, Algemene Pensioen Groep (APG) and De Nederlandsche Bank
Downloads 177 (254,456)
Citation 1

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Pension funds, strategic equity allocation, lifecycle saving and investing

Pension Funds’ Asset Allocation and Participant Age: A Test of the Life‐Cycle Model

Journal of Risk and Insurance, Vol. 79, Issue 3, pp. 595-618, 2012
Number of pages: 24 Posted: 23 Aug 2012
De Nederlandsche Bank, De Nederlandsche Bank, Tilburg University - Tilburg University School of Economics and Management and Algemene Pensioen Groep (APG)
Downloads 0
Citation 1

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3.

Pension Fund's Illiquid Assets Allocation Under Liquidity and Capital Requirements

Journal of Pension Economics & Finance, Volume 20, Issue 1, January 2021, pp. 102 - 124.
Number of pages: 44 Posted: 19 Apr 2017 Last Revised: 11 Jan 2021
De Nederlandsche Bank, Marshall School of Business - University of Southern California and Tilburg University - Center for Economic Research (CentER)
Downloads 304 (152,110)
Citation 4

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asset allocation, asset liability management, capital requirements, illiquid assets, liquidity requirements, pension funds

4.

A Utility-Based Comparison of Pension Funds and Life Insurance Companies under Regulatory Constraints

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 25 Posted: 28 Feb 2010 Last Revised: 10 Oct 2011
Dirk Broeders, An Chen and Birgit Koos
De Nederlandsche Bank, Ulm University - Institute of Insurance Science and University of Bonn - Department of Economics
Downloads 207 (221,481)
Citation 2

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Pension plans, barrier options, contingent claim approach, mean- variance-skewness analysis

5.

Common Advisor Effect in Strategic Asset Allocations

De Nederlandsche Bank Working Paper No. 612
Number of pages: 55 Posted: 06 Nov 2018 Last Revised: 07 Oct 2020
Rob Bauer, Matteo Bonetti and Dirk Broeders
Maastricht University, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 196 (232,627)
Citation 1

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Pension Funds, Asset Allocation, Alternative Asset Classes, Spatial Econometrics, Asset Management

6.

Pension Funds’ Herding

De Nederlandsche Bank Working Paper No. 503
Number of pages: 40 Posted: 02 Mar 2016
De Nederlandsche Bank, University of Amsterdam, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 195 (233,711)
Citation 6

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Occupational Pension Funds, Asset Allocation, Herding; Financial Stability

Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund and Sponsor Support

Journal of Risk and Insurance, Forthcoming
Number of pages: 46 Posted: 12 Nov 2010 Last Revised: 10 Oct 2011
Dirk Broeders and An Chen
De Nederlandsche Bank and Ulm University - Institute of Insurance Science
Downloads 112 (366,415)
Citation 3

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Pension Plans, Regulation, Barrier Options, Rainbow Barrier Options, Guarantee Systems

Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund and Sponsor Support

De Nederlandsche Bank Working Paper No. 268
Number of pages: 48 Posted: 27 Oct 2011
Dirk Broeders and An Chen
De Nederlandsche Bank and Ulm University - Institute of Insurance Science
Downloads 68 (501,401)
Citation 1

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Pension plans, regulation, barrier options, rainbow barrier options, guarantee systems

Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund, and Sponsor Support

Journal of Risk and Insurance, Vol. 80, Issue 2, pp. 239-272, 2013
Number of pages: 34 Posted: 22 May 2013
Dirk Broeders and An Chen
De Nederlandsche Bank and University of Bonn - Faculty of Law & Economics
Downloads 0

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8.
Downloads 175 (256,955)
Citation 4

Valuation of Liabilities in Hybrid Pension Plans

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 30 Posted: 30 Sep 2011
Dirk Broeders, An Chen and David R. Rijsbergen
De Nederlandsche Bank, Ulm University - Institute of Insurance Science and De Nederlandsche Bank
Downloads 92 (419,168)

Abstract:

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Market consistent valuation, overlapping generations, forward risk adjusted measure

Valuation of Liabilities in Hybrid Pension Plans

De Nederlandsche Bank Working Paper No. 326
Number of pages: 37 Posted: 15 Dec 2011
Dirk Broeders, An Chen and David R. Rijsbergen
De Nederlandsche Bank, Ulm University - Institute of Insurance Science and De Nederlandsche Bank
Downloads 83 (447,033)
Citation 4

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Market consistent valuation, overlapping generations, forward risk adjusted measure, Vasicek

9.

A Life-Cycle Approach in the Dutch Occupational Pension System?

Rotman International Journal of Pension Management, Vol. 3, No. 1, 2010
Number of pages: 9 Posted: 01 Jun 2010
Dirk Broeders and David R. Rijsbergen
De Nederlandsche Bank and De Nederlandsche Bank
Downloads 157 (281,620)
Citation 1

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Benefit, Cost, Investment, Pension Fund, Performance Metric

10.

The Impact of Trustees' Age and Representation on Strategic Asset Allocations

De Nederlandsche Bank Working Paper No. 698
Number of pages: 73 Posted: 08 Dec 2020
Rob Bauer, Rien Bogman, Matteo Bonetti and Dirk Broeders
Maastricht University, KPMG, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 152 (289,290)

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Pension Funds, Asset Allocation, Pension Fund Governance, Agency Problems

11.

Scale Economies in Pension Fund Investments: A Dissection of Investment Costs Across Asset Classes

De Nederlandsche Bank Working Paper No. 474
Number of pages: 54 Posted: 05 Jun 2015
Dirk Broeders, Arco van Oord and David R. Rijsbergen
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 150 (292,503)
Citation 4

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pension funds, asset management, management costs, performance fees

12.

Valuation of Contingent Pension Liabilities and Guarantees under Sponsor Vulnerability

22nd Australasian Finance and Banking Conference 2009
Number of pages: 49 Posted: 14 Apr 2008 Last Revised: 10 Oct 2011
Dirk Broeders
De Nederlandsche Bank
Downloads 148 (295,681)
Citation 3

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Defined benefit, contingent indexation, pension put, reverse financial engineering, vulnerable options

How QE changes the nature of sovereign risk

De Nederlandsche Bank Working Paper No. 737
Number of pages: 51 Posted: 11 Feb 2022
Dirk Broeders, Leo de Haan and Jan Willem van den End
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 101 (393,897)

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Quantitative Easing, Sovereign risk, Sovereign spreads, Contingent Claims Model

How QE Changes the Nature of Sovereign Risk

Number of pages: 63 Posted: 11 Jul 2022
Jan Willem van den End, Dirk Broeders and Leo de Haan
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 29 (716,089)

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E52, E58, G12

Utility-Equivalence of Pension Security Mechanisms

Number of pages: 28 Posted: 03 Jan 2012 Last Revised: 08 Jan 2014
An Chen, Dirk Broeders and Birgit Koos
Ulm University - Institute of Insurance Science, De Nederlandsche Bank and University of Bonn - Department of Economics
Downloads 89 (428,256)

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Pension plans, pension regulation, guarantee systems, power utility, certainty equivalents

Utility-Equivalence of Pension Security Mechanisms

De Nederlandsche Bank Working Paper No. 414
Number of pages: 31 Posted: 29 Jan 2014
Dirk Broeders, An Chen and Birgit Koos
De Nederlandsche Bank, Ulm University - Institute of Insurance Science and University of Bonn - Department of Economics
Downloads 39 (646,392)

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Pension plans, pension regulation, guarantee systems, power utility, certainty equivalents

15.

The Economics of Sharing Macro-longevity Risk

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 44 Posted: 07 Jan 2019 Last Revised: 08 Oct 2020
Dirk Broeders, Roel Mehlkopf and Annick van Ool
De Nederlandsche Bank, Tilburg University and De Nederlandsche Bank
Downloads 108 (373,692)
Citation 1

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Macro-longevity risk, risk sharing, welfare analysis, retirement age

16.

Pension Regulation and the Market Value of Pension Liabilities - A Contingent Claims Analysis Using Parisian Options

Journal of Banking and Finance, Vol. 34, No. 6, pp. 1201-1214
Number of pages: 34 Posted: 24 Aug 2009 Last Revised: 10 Oct 2011
Dirk Broeders and An Chen
De Nederlandsche Bank and Ulm University - Institute of Insurance Science
Downloads 94 (409,929)
Citation 2

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pension funds, DB and DC pension plans, barrier options, Parisian barrier options

17.

Does it Pay to Pay Performance Fees? Empirical Evidence from Dutch Pension Funds

De Nederlandsche Bank Working Paper No. 561
Number of pages: 49 Posted: 19 Jul 2017
Dirk Broeders, Arco van Oord and David R. Rijsbergen
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 90 (421,622)
Citation 1

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pension funds, asset management, performance fees, investment costs

18.

Fair Pensions

De Nederlandsche Bank Working Paper No. 630
Number of pages: 46 Posted: 19 Apr 2019
Ilja Boelaars and Dirk Broeders
University of Chicago and De Nederlandsche Bank
Downloads 80 (455,541)
Citation 1

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Pension, Retirement, Asset Pricing, Fair value, Intergenerational risk-sharing, Funded pension systems

19.

Benchmark Selection and Performance

De Nederlandsche Bank Working Paper No. 603
Number of pages: 37 Posted: 14 Aug 2018
Dirk Broeders and Leo de Haan
De Nederlandsche Bank and De Nederlandsche Bank
Downloads 65 (506,536)
Citation 1

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Pension funds, Asset allocation, Benchmark selection, Investment performance

Stability of Participation in Collective Pension Schemes: An Option Pricing Approach

De Nederlandsche Bank Working Paper No. 484
Number of pages: 57 Posted: 23 Oct 2015
Damiaan Chen, Roel M. W. J. Beetsma and Dirk Broeders
University of Amsterdam, University of Amsterdam - Research Institute in Economics & Econometrics (RESAM) and De Nederlandsche Bank
Downloads 41 (640,178)
Citation 4

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defined-benefit and collective defined-contribution pension funds, participation decision, actuarially fair, uniform and age-dependent contribution, European, Bermuda and American option, Least Squares Monte Carlo simulations, stability

Stability of Participation in Collective Pension Schemes: An Option Pricing Approach

Netspar Discussion Paper No. 09/2015-029
Number of pages: 54 Posted: 18 Sep 2015
Damiaan Chen, Roel M. W. J. Beetsma and Dirk Broeders
University of Amsterdam, University of Amsterdam - Research Institute in Economics & Econometrics (RESAM) and De Nederlandsche Bank
Downloads 19 (801,828)

Abstract:

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Defined-benefit and collective defined-contribution pension funds, participation decision, actuarially fair, uniform and age-dependent contribution, European, Bermuda and American option, Least Squares Monte Carlo simulations, stability

21.

What Drives Pension Indexation in Turbulent Times? An Empirical Examination of Dutch Pension Funds

De Nederlandsche Bank Working Paper No. 368
Number of pages: 47 Posted: 19 Jan 2013
Dirk Broeders, Paul Hilbers and David R. Rijsbergen
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 43 (608,827)
Citation 1

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Indexation, policy ladders, defined benefit plans

22.

The Impact of QE on Sovereign Spreads in the Emu

Number of pages: 11 Posted: 10 Nov 2022
Jan Willem van den End, Dirk Broeders and Leo de Haan
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 6 (898,459)

Abstract:

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E52, E58, G12

23.

Valuation of Contingent Pension Liabilities and Guarantees Under Sponsor Default Risk

Journal of Risk and Insurance, Vol. 77, Issue 4, pp. 911-934, December 2010
Number of pages: 24 Posted: 16 Nov 2010
Dirk Broeders
De Nederlandsche Bank
Downloads 4 (920,007)
Citation 1

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