华信惠悦资产负债模型（assetliabilitymodel）课件

《华信惠悦资产负债模型（assetliabilitymodel）课件》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、UniversityofNSW23September2002GuestLectureJohnFerraroJamesFitzpatrickAgendaAssetLiabilityModelling(ALM)WorkingatWatsonWyatt-JamesFitzpatrick-JohnFerraroPleaseinterruptifyouhaveaquestionThe“Problem”ATrustee’ssuperannuationfundhaslost10%overthelastfewyea

2、rsduetopoorinvestmentmarkets.Withthecoverageofassetsoverliabilitiesnowatonly100%,furtherlosseswillmeanthattheFundwillbeunder-funded.The“Problem”:theTrusteehasaskedforstrategicadvicetominimisethechancethattheFund’scoverageofliabilitiesfallsfurther.TheSolut

3、ionTheTrusteecanbenefitfromanALMWhatisanALM?Whyisitneededhere?-stochasticmodelversusdeterministic-identifiesriskThesolutionmightmeananewstrategyStepsinALMSettingassetassumptionsSettingassetallocationstrategiesBuildingtheliabilitymodelRunningsimulationsI

4、nterpretingresultsAssetAssumptionsGlobalframework/modelReturns,standarddeviationsandcorrelations:-Australianequities-Internationalequities-Australianfixedinterest-Listedproperty-Directproperty-Internationalfixedinterest-Cash-Inflation,andmore……Ass

5、etallocationstrategiesTheStrategyisthelongtermweightorallocationtoeachassetclassExample:Australianequities30%Internationalequities30%Property10%Australianfixedinterest15%Internationalfixedinterest15%LiabilityModelActuarialinputusefulforsuperannuation

6、fundsImitateactuarialvaluationsincalculatingcontributionratesundereachscenarioConflict:Actuarial(prudent)versusALM(bestestimate)assumptionsRunningSimulationsHowmanyisenough?5000?Platform?WatsonWyattusesExcel/VisualBasicDatastoredinAccesstablesComplexfunds

7、cantakeanumberofhourstorunInterpretingResultsResultsneedtobeinterpretedandpresentedtotheclientRecommendationsmay(andusually)domeanachangeinstrategyExamplesofresults:Example1:ReturnDefinition?VestedBenefitsIndexExample2:RiskDefinition?Probabilityofunder-fu

8、ndingGraduatedin2000withaBachelorofCommercemajoringinActuarialStudiesJoinedWatsonWyattin2001intheactuarialpracticeWorkinclientteamshelpingTrustees:-actuarialvaluations-grouplifereviews-adhocproblemsolving(eglegis