华信惠悦：asset liability modelling

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1、华信惠悦：AssetLiabilityModellingUniversityofNSW23September2<#004699'>0<#004699'>02GuestLectureJohnFerraroJamesFitzpatrickAgendaAssetLiabilityModelling(ALM)WorkingatWatsonWyatt-JamesFitzpatrick-JohnFerraroPleaseinterruptifyouhaveaquestionThe“Problem”ATrustee’ssuperannuationfundhaslost1<#004699'

2、>0%overthelastfewyearsduetopoorinvestmentmarkets.Withthecoverageofassetsoverliabilitiesnowatonly1<#004699'>0<#004699'>0%,furtherlosseswillmeanthattheFundwillbeunder-funded.The“Problem”:theTrusteehasaskedforstrategicadvicetominimisethechancethattheFund’scoverageofliabilitiesfallsfurther.The

3、SolutionTheTrusteecanbenefitfromanALMWhatisanALM?Whyisitneededhere?-stochasticmodelversusdeterministic-identifiesriskThesolutionmightmeananewstrategyStepsinALMSettingassetassumptionsSettingassetallocationstrategiesBuildingtheliabilitymodelRunningsimulationsInterpretingresultsAssetAssumptio

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

5、classExample:Australianequities3<#004699'>0%Internationalequities3<#004699'>0%Property1<#004699'>0%Australianfixedinterest15%Internationalfixedinterest15%LiabilityModelActuarialinputusefulforsuperannuationfundsImitateactuarialvaluationsincalculatingcontributionratesundereachscenarioConflic

6、t:Actuarial(prudent)versusALM(bestestimate)assumptionsRunningSimulationsHowmanyisenough?5<#004699'>0<#004699'>0<#004699'>0?Platform?WatsonWyattusesExcel/VisualBasicDatastoredinAccesstablesComplexfundscantakeanumberofhourstorunInterpretingResultsResultsneedtobeinterpretedandpresentedtothecl

7、ientRecommendationsmay(andusually)domeanachangeinstrategyExamplesofresults:Example1:ReturnDefinition?VestedBenefitsIndexExample2:RiskDefinition?Probabilityofunder-fundingGraduatedin2<#004699'>0<#004699'>0<#004699'>0withaBachelorofCommercemajoringinActuarialStu