华信惠悦 资产负债模型(asset liability model)资料.pptVIP

University of NSW 23 September 2002 Guest Lecture John Ferraro James Fitzpatrick Agenda Asset Liability Modelling (ALM) Working at Watson Wyatt- James Fitzpatrick- John Ferraro Please interrupt if you have a question The “Problem” A Trustee’s superannuation fund has lost 10% over the last few years due to poor investment markets. With the coverage of assets over liabilities now at only 100%, further losses will mean that the Fund will be under-funded. The “Problem”: the Trustee has asked for strategic advice to minimise the chance that the Fund’s coverage of liabilities falls further.  The Solution The Trustee can benefit from an ALM What is an ALM? Why is it needed here?- stochastic model versus deterministic- identifies risk The solution might mean a new strategy Steps in ALM Setting asset assumptions Setting asset allocation strategies Building the liability model Running simulations Interpreting results Asset Assumptions Global framework/model Returns, standard deviations and correlations:- Australian equities- International equities- Australian fixed interest- Listed property- Direct property- International fixed interest- Cash- Inflation, and more …… Asset allocation strategies The Strategy is the long term weight or allocation to each asset class Example: Australian equities 30% International equities 30% Property 10% Australian fixed interest 15% International fixed interest 15% Liability Model Actuarial input useful for superannuation funds Imitate actuarial valuations in calculating contribution rates under each scenario Conflict: Actuarial (prudent) versus ALM (best estimate) assumptions Running Simulations How many is enough? 5000? Platform? Watson Wyatt uses Excel/Visual Basic Data stored in Access tables Complex funds can take a number of hours to run Interpreting Results Results need to be interpreted and presented to the client Recommendations may (and usually) do mean a change in strategy Examples of resul