New VaR model ensures pension stability in uncertain financial markets.
Value at Risk (VaR) is a way to measure financial risk. This study focused on calculating long-term VaR for a pension scheme using a unique method called Monte Carlo simulation with non-parametric bootstrapping. The researchers tested the accuracy of their model by backtesting it with different confidence levels. They found that their VaR model is valid and accurate for practical use in managing risk in pension schemes.