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KDI - Korea Development Institute

KDI - Korea Development Institute



Policy Study A Study on the Delegation Management of Investments in Alternative Assets for NPS Funds December 31, 2019


Series No. 2019-11

Policy Study KOR A Study on the Delegation Management of Investments in Alternative Assets for NPS Funds #Banks and Financial Institutions #General(Other) #Pension
DOI P-ISBN979-11-5932-514-4 E-ISBN979-11-5932-541-0

December 31, 2019

  • KDI
    Rhee, Keeyoung
This study analyzes whether the current performance evaluation and compensation systems for alternative investment businesses in NPS funds are optimally designed to resolve incentive problems. The majority of alternative investment tasks are delegated to private equity funds (PEF), which have expertise in management and asset valuation of alternative investment assets. However, this expertise also gives rise to an inefficient transmission of information on the value of invested assets privately known to PEFs. Specifically, PEFs may have a distorted incentive to overestimate the value of invested assets to convince the NPS fund not to withdraw their funding until the investment has fully matured. On the contrary, PEFs also bear the cost of false reporting: they may be penalized by the regulatory authorities for any violations of good faith duties.

Combining moral hazard with strategic communication with lying costs, we find that PEFs’ incentive to misreport the valuation results is closely related to bonus pays that are contingent on the high return of invested assets. Specifically, the incentive to misreport is low if and only if the bonus pay is either very low or very high. We also find that the incentive to misreport grows stronger if the NPS fund rewards its employees based on the mid-term valuation of invested assets, suggesting that the mid-term performance evaluation with the NPS funds should be reconsidered. Lastly, we find that the optimal compensation system to resolve the incentive misalignment problems should contain a sufficiently large base upfront pay.
요 약

제1장 서 론

제2장 국민연금 대체투자 현황 및 연구 필요성 검토
 제1절 국민연금 연기금 대체투자 운용 및 평가체계 검토
 제2절 대체투자 위탁운용제도 검토
 제3절 현행 대체투자제도의 개선사항

제3장 이론분석 및 정책적 시사점
 제1절 모 형
 제2절 현행 대체투자제도와 이론모형 간의 상호 연관성
 제3절 부분균형분석: 투자기간 연장 여부 결정
 제4절 대체투자 성과평가제도가 효율적 정보전달에 미치는 영향
 제5절 전체 균형분석 및 최적 성과보수체계 설계방향

제4장 결 론

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