440华信惠悦 资产负债模型(Asset Liability Model).ppt

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 plex funds can take a number of hours to run
Interpreting Results
Results need to be interpreted and presented to the client
mendations may (and usually) do mean a change in strategy
Examples of results: