Dirk Broeders

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

Maastricht University

Professor of Finance

P.O. Box 616

Maastricht, Limburg 6200MD

Netherlands

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

  • European Central Bank (ECB)

  • Maastricht University

SCHOLARLY PAPERS

26

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5,905

TOTAL CITATIONS
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Top 18,783

in Total Papers Citations

60

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.  ”

  • European Central Bank (ECB)

  • Maastricht University

Scholarly Papers (26)

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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
European Central Bank (ECB) and University of Southern California - Marshall School of Business
Downloads 604 (94,454)
Citation 1

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

2.

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

Downloads 513 (115,848)
Citation 6

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
Jacob Antoon Bikker, Dirk Broeders, David Hollanders and Eduard H.M. Ponds
De Nederlandsche Bank, European Central Bank (ECB), Tilburg University - Tilburg University School of Economics and Management and Algemene Pensioen Groep (APG)
Downloads 295 (214,796)
Citation 4

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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
Dirk Broeders, David Hollanders, Eduard H.M. Ponds and Jacob Antoon Bikker
European Central Bank (ECB), Tilburg University - Tilburg University School of Economics and Management, Algemene Pensioen Groep (APG) and De Nederlandsche Bank
Downloads 218 (291,316)
Citation 2

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Pension funds, strategic equity allocation, lifecycle saving and investing

3.

Walk the Green Talk? a Textual Analysis of Pension Funds’ Disclosures of Sustainable Investing

De Nederlandsche Bank Working Paper No. 770, 2023, European Corporate Governance Institute – Finance Working Paper No. 911/2023
Number of pages: 58 Posted: 17 Mar 2023 Last Revised: 08 Jan 2025
Rob Bauer, Dirk Broeders and Annick van Ool
Maastricht University, European Central Bank (ECB) and De Nederlandsche Bank
Downloads 488 (122,992)

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ESG, sustainability, SI initiatives, pension funds, textual analysis, natural language processing

4.

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
Dirk Broeders, Kristy A.E. Jansen and Bas J. M. Werker
European Central Bank (ECB), University of Southern California - Marshall School of Business and Tilburg University - Center for Economic Research (CentER)
Downloads 373 (168,032)
Citation 8

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

5.

Common Advisor Effect in Strategic Asset Allocations

Downloads 275 (200,460)
Citation 1

Common Advisor Effect in Strategic Asset Allocations

De Nederlandsche Bank Working Paper No. 612
Number of pages: 82 Posted: 06 Nov 2018 Last Revised: 25 Jan 2024
Rob Bauer, Matteo Bonetti and Dirk Broeders
Maastricht University, De Nederlandsche Bank and European Central Bank (ECB)
Downloads 275 (231,137)
Citation 1

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

6.

Climate-Linked Bonds

Downloads 288 (222,023)

Climate-Linked Bonds

ECB Working Paper No. 2025/3011
Number of pages: 58 Posted: 10 Jan 2025
Dirk Broeders, Daniel Dimitrov and Niek Verhoeven
European Central Bank (ECB), University of Amsterdam and De Nederlandsche Bank
Downloads 177 (354,190)

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asset pricing, climate-linked bonds, climate risk, contingent claims, green finance

Climate-Linked Bonds

De Nederlandsche Bank Working Paper No. 817
Number of pages: 60 Posted: 08 Nov 2024
Dirk Broeders, Daniel Dimitrov and Niek Verhoeven
European Central Bank (ECB), University of Amsterdam and De Nederlandsche Bank
Downloads 111 (520,752)

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climate-linked bonds climate risk, contingent claims, pricing green finance, climate risk

7.

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
European Central Bank (ECB), Ulm University - Institute of Insurance Science and University of Bonn - Department of Economics
Downloads 287 (222,785)
Citation 2

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

8.

Pension Funds’ Herding

De Nederlandsche Bank Working Paper No. 503
Number of pages: 40 Posted: 02 Mar 2016
Dirk Broeders, Damiaan Chen, Peter Minderhoud and Willem Schudel
European Central Bank (ECB), University of Amsterdam, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 261 (245,484)
Citation 6

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Occupational Pension Funds, Asset Allocation, Herding; Financial Stability

9.

Valuation of Liabilities in Hybrid Pension Plans

Downloads 234 (273,483)
Citation 3

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
European Central Bank (ECB), Ulm University - Institute of Insurance Science and De Nederlandsche Bank
Downloads 121 (487,068)

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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
European Central Bank (ECB), Ulm University - Institute of Insurance Science and De Nederlandsche Bank
Downloads 113 (513,730)
Citation 3

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

10.

Utility-Equivalence of Pension Security Mechanisms

Downloads 230 (278,087)

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
European Central Bank (ECB), Ulm University - Institute of Insurance Science and University of Bonn - Department of Economics
Downloads 116 (503,468)

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

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, European Central Bank (ECB) and University of Bonn - Department of Economics
Downloads 114 (510,293)

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

11.

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

Downloads 226 (282,809)
Citation 7

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
European Central Bank (ECB) and Ulm University - Institute of Insurance Science
Downloads 139 (435,465)
Citation 6

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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
European Central Bank (ECB) and Ulm University - Institute of Insurance Science
Downloads 87 (616,432)
Citation 1

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

12.

The European Carbon Bond Premium

De Nederlandsche Bank Working Paper No. 798
Number of pages: 47 Posted: 16 Jan 2024 Last Revised: 21 Feb 2024
Dirk Broeders, Marleen De Jonge and David R. Rijsbergen
European Central Bank (ECB), De Nederlandsche Bank and De Nederlandsche Bank
Downloads 221 (288,947)

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Carbon Premium, Carbon Premium Term Structure, Climate Change, Climate Transition Risk

13.

How QE changes the nature of sovereign risk

Downloads 213 (299,227)

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
European Central Bank (ECB), De Nederlandsche Bank and De Nederlandsche Bank
Downloads 159 (389,284)

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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, European Central Bank (ECB) and De Nederlandsche Bank
Downloads 54 (799,427)

Abstract:

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E52, E58, G12

14.

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 European Central Bank (ECB)
Downloads 211 (301,881)
Citation 2

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

15.

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
European Central Bank (ECB) and De Nederlandsche Bank
Downloads 197 (321,927)
Citation 1

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Benefit, Cost, Investment, Pension Fund, Performance Metric

16.

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
European Central Bank (ECB), De Nederlandsche Bank and De Nederlandsche Bank
Downloads 184 (342,755)
Citation 4

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pension funds, asset management, management costs, performance fees

17.

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
European Central Bank (ECB)
Downloads 178 (353,150)
Citation 3

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

18.

The Economics of Sharing Macro-longevity Risk

Insurance: Mathematics and Economics, Volume 99, July 2021, Pages 440-458.
Number of pages: 44 Posted: 07 Jan 2019 Last Revised: 08 Jan 2024
Dirk Broeders, Roel Mehlkopf and Annick van Ool
European Central Bank (ECB), Tilburg University and De Nederlandsche Bank
Downloads 170 (367,671)
Citation 1

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

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
European Central Bank (ECB) and De Nederlandsche Bank
Downloads 137 (439,572)
Citation 1

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Pension funds, Asset allocation, Benchmark selection, Investment performance

20.

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
European Central Bank (ECB), De Nederlandsche Bank and De Nederlandsche Bank
Downloads 123 (478,594)
Citation 2

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pension funds, asset management, performance fees, investment costs

21.

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
European Central Bank (ECB) and Ulm University - Institute of Insurance Science
Downloads 115 (503,784)
Citation 5

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

22.

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 European Central Bank (ECB)
Downloads 104 (542,437)
Citation 1

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

23.

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

Downloads 96 (572,940)
Citation 4

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 European Central Bank (ECB)
Downloads 53 (806,598)
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 European Central Bank (ECB)
Downloads 43 (886,652)

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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

24.

Central Bank Capital and Shareholder Relationship

De Nederlandsche Bank Working Paper No. 809/ April 2024
Number of pages: 53 Posted: 10 Apr 2024 Last Revised: 15 Apr 2024
Matteo Bonetti, Dirk Broeders, Damiaan Chen and Daniel Dimitrov
De Nederlandsche Bank, European Central Bank (ECB), University of Amsterdam and University of Amsterdam
Downloads 72 (677,852)

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Capital; Central Bank, Contingent Claim Analysis, Risk Management, Shareholder, Stackelberg Games

25.

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
European Central Bank (ECB), De Nederlandsche Bank and De Nederlandsche Bank
Downloads 65 (715,131)
Citation 2

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Indexation, policy ladders, defined benefit plans

26.

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, European Central Bank (ECB) and De Nederlandsche Bank
Downloads 40 (890,982)

Abstract:

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E52, E58, G12