Pension Fund’s Risk Management Investment Portfolio in Tanzania

  • Michael Laurent Bukwimba, PhD Institute of Finance Management
Keywords: Pension Fund, Risk, Investment, Social Security, Financial Securities
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The study intends to assess the risk exposure of assets from the pension funds investment portfolio and suggest possible solutions of mitigating the risk of severe loss that is likely to occur over a given period of time. The study engaged secondary data of annual return series from five individual assets which are Government Securities (GSs), Fixed Deposits (FDs), Corporate Bonds (CBs), Equities and Real Estates (REs) with the total number of 18 observations. In order to achieve the objectives of the study, the author applied the Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) model and Cornish-Fisher expansion model for data analysis to calculate Value at Risk (VaR) for individual assets in Pension Funds investment portfolio from the financial year 1998/1999 to 2016/2017. The results from both techniques employed indicated that, Corporate Bonds (CBs) has the highest Value at Risk (VaR) followed by, Fixed Deposits (FDs), Equity, Real Estates and Government Securities (GSs). There were some renovations in the social security industry in Tanzania as among the approaches to combat risk that avails with minimal effects in the operationalization of Pension Funds, therefore the findings of the study are relevant to help pension funds in Tanzania to mitigate the risk of strict loss that is likely to occur in their investment portfolio due to market fluctuations over a given period of time.


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16 June, 2022
How to Cite
Bukwimba, M. (2022). Pension Fund’s Risk Management Investment Portfolio in Tanzania. International Journal of Finance and Accounting, 1(1), 1-20.