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, 6200MD

Netherlands

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

SCHOLARLY PAPERS

21

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SSRN CITATIONS
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Top 15,159

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42

CROSSREF CITATIONS

34

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

Scholarly Papers (21)

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 200 (186,648)
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 160 (227,194)
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)
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2.

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, Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 285 (132,237)
Citation 4

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

3.

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 Tilburg University
Downloads 261 (144,722)
Citation 1

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

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, University of Ulm and University of Bonn - Department of Economics
Downloads 186 (199,331)
Citation 2

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

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 University of Ulm
Downloads 102 (320,407)
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 University of Ulm
Downloads 58 (445,649)
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
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6.
Downloads 151 (238,033)
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, University of Ulm and De Nederlandsche Bank
Downloads 81 (371,175)

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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, University of Ulm and De Nederlandsche Bank
Downloads 70 (403,822)
Citation 4

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

7.

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 149 (240,668)
Citation 1

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Benefit, Cost, Investment, Pension Fund, Performance Metric

8.

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 148 (242,024)
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Occupational Pension Funds, Asset Allocation, Herding; Financial Stability

9.

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 139 (254,588)
Citation 1

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

10.

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 138 (256,024)
Citation 3

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

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 129 (269,531)
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pension funds, asset management, management costs, performance fees

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
University of Ulm, De Nederlandsche Bank and University of Bonn - Department of Economics
Downloads 81 (371,175)

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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, University of Ulm and University of Bonn - Department of Economics
Downloads 28 (592,038)

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

13.

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 91 (342,363)
Citation 1

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

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 De Nederlandsche Bank
Downloads 86 (354,530)

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

15.

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 University of Ulm
Downloads 84 (359,709)
Citation 2

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

16.

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 82 (364,955)
Citation 1

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pension funds, asset management, performance fees, investment costs

17.

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 52 (461,317)
Citation 1

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

18.

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 49 (473,335)
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 28 (592,038)
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 15 (688,831)

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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

20.

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 35 (537,297)
Citation 1

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Indexation, policy ladders, defined benefit plans

21.

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 3 (757,446)
Citation 1
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