资产负债模型(AssetLiabilityModel).ppt

University of NSW,23 September 2002 Guest LectureJohn FerraroJames Fitzpatrick,Agenda,Asset Liability Modelling(ALM)Working at Watson Wyatt-James Fitzpatrick-John FerraroPlease interrupt if you have a question,The“Problem”,A Trustees 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 Funds coverage of liabilities falls further.,The Solution,The Trustee can benefit from an ALMWhat is an ALM?Why is it needed here?-stochastic model versus deterministic-identifies riskThe solution might mean a new strategy,Steps in ALM,Setting asset assumptionsSetting asset allocation strategiesBuilding the liability modelRunning simulationsInterpreting results,Asset Assumptions,Global framework/modelReturns,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 classExample:Australian equities 30%International equities 30%Property 10%Australian fixed interest 15%International fixed interest 15%,Liability Model,Actuarial input useful for superannuation fundsImitate actuarial valuations in calculating contribution rates under each scenarioConflict:Actuarial(prudent)versus ALM(best estimate)assumptions,Running Simulations,How many is enough?5000?Platform?Watson Wyatt uses Excel/Visual BasicData stored in Access tablesComplex funds can take a number of hours to run,Interpreting Results,Results need to be interpreted and presented to the clientRecommendations may(and usually)do mean a change in strategyExamples of results:,Example 1:Return Definition?Vested Benefits Index,Example 2:Risk Definition?Probability of under-funding,Graduated in 2000 with a Bachelor of Commerce majoring in Actuarial StudiesJoined Watson Wyatt in 2001 in the actuarial practiceWork in client teams helping Trustees:-actuarial valuations-group life reviews-ad hoc problem solving(eg legislative changes),Working at Watson Wyatt James Fitzpatrick,Working at Watson Wyatt John Ferraro,Joined Watson Wyatt in 1994Worked in a number of departments:-IT-IT/Administration-Superannuation Consulting-Investment ConsultingCurrently provide investment advice to Trustees on strategy,manager selection and monitoring.,三茅招聘管理软件，永久免费，HR都在用。官方下载网站：,