华信惠悦资产负债模型AssetLiabilityModel

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

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

3、M?Whyisitneededhere?-stochasticmodelversusdeterministic-identifiesriskThesolutionmightmeananewstrategyStepsinALMSettingassetassumptionsSettingassetallocationstrategiesBuildingtheliabilitymodelRunningsimulationsInterpretingresultsAssetAssumptionsGlobalframework/modelReturns,

4、standarddeviationsandcorrelations:-Australianequities-Internationalequities-Australianfixedinterest-Listedproperty-Directproperty-Internationalfixedinterest-Cash-Inflation,andmore……AssetallocationstrategiesTheStrategyisthelongtermweightorallocationtoeachassetclassExam

5、ple:Australianequities30%Internationalequities30%Property10%Australianfixedinterest15%Internationalfixedinterest15%LiabilityModelActuarialinputusefulforsuperannuationfundsImitateactuarialvaluationsincalculatingcontributionratesundereachscenarioConflict:Actuarial(prudent)

6、versusALM(bestestimate)assumptionsRunningSimulationsHowmanyisenough?5000?Platform?WatsonWyattusesExcel/VisualBasicDatastoredinAccesstablesComplexfundscantakeanumberofhourstorunInterpretingResultsResultsneedtobeinterpretedandpresentedtotheclientRecommendationsmay(andusually)do

7、meanachangeinstrategyExamplesofresults:Example1:ReturnDefinition?VestedBenefitsIndexExample2:RiskDefinition?Probabilityofunder-fundingGraduatedin2000withaBachelorofCommercemajoringinActuarialStudiesJoinedWatsonWyattin2001intheactuarialpracticeWorkinclientteamshelpingTrustees:

8、-actuarialvaluations-grouplifereviews-adhocproblemsolving(eglegis