국민연금의 전략적 자산배분 시 목표수익률 설정방식 및 허용위험한도 지표의 개선방안 연구

The purpose of this paper points out the problems of current 5 year basis target return setting and shortfall risk measure in strategic asset allocation of Korean national pension fund and suggests the ways to solve the problems. Currently, Korean national pension fund sets its target returns in ad-hoc way by (real GDP+CPI±adjustment), which is not reflecting ALM point of view and cannot explain risk-return trade-off because it is not driven by and also separated from strategic asset allocation process. Also, Korean national pension fund uses shortfall risk based on CPI as risk measure when applying strategic asset allocation, which has no theoretical foundations at all and makes asset allocation results very unstable. We show that target returns can and should be set up in connection with the other variables such as contribution rate in considering various policy mix to achieve financial stabilization of Korean national pension fund from the perspective of ALM and that our method is able to reflect the risk-return trade-off as the weights of risky assets increase in asset allocations since we modify the current method of calculating shortfall risk to be linked to risk-return trade-off. We propose various policy combinations of long term target returns (70 year basis) and contribution rates that can achieve a target funded ratio (reserve multiple) of 2 in 2082 suggested by the third meeting of the committee for Korean national pension system development. Also, we show that there is a possibility of excess fund accumulation when we compare the estimated fund size under the above scenarios of long term target returns and contribution rates with the fund size of year 2043 calculated under the assumption of current contribution rate of 9%. Furthermore, we show that by linking the expected returns of stocks and bonds to CPI, ‘illusion effect’ meaning that shortfall risk dramatically increases although there is no change in risk at all when the forecast of CPI rises can be eliminated. This implies that Korean national pension fund’s recent change of shortfall risk limit to 15% from 10% is done simply to eliminate ‘illusion effect’ and not from the risk management perspective. We also show that shortfall risk has a serious problem as a risk measure since it is not suitably reflective of the increase in risk even when the weights of risky assets increase in asset allocations.