華信惠悅資產(chǎn)負債模型

1、University of NSW23 September 2002 Guest LectureJohn FerraroJames FitzpatrickAgendaAsset Liability Modelling (ALM)Working at Watson Wyatt- James Fitzpatrick- John FerraroPlease interrupt if you have a questionThe “Problem”A Trustees superannuation fund has lost 10% over the last few years due to poo

2、r 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 SolutionThe Trust

3、ee can benefit from an ALMWhat is an ALM?Why is it needed here?- stochastic model versus deterministic- identifies riskThe solution might mean a new strategySteps in ALMSetting asset assumptionsSetting asset allocation strategiesBuilding the liability modelRunning simulationsInterpreting resultsAsse

4、t AssumptionsGlobal 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 strategiesThe Strategy is the long ter

5、m weight or allocation to each asset classExample:Australian equities 30%International equities 30%Property 10%Australian fixed interest 15%International fixed interest 15%Liability ModelActuarial input useful for superannuation fundsImitate actuarial valuations in calculating contribution rates und

6、er each scenarioConflict: Actuarial (prudent) versus ALM (best estimate) assumptionsRunning SimulationsHow many is enough? 5000?Platform? Watson Wyatt uses Excel/Visual BasicData stored in Access tablesComplex funds can take a number of hours to runInterpreting ResultsResults need to be interpreted

7、and presented to the clientRecommendations may (and usually) do mean a change in strategyExamples of results:Example 1: Return Definition? Vested Benefits IndexExample 2: Risk Definition? Probability of under-fundingGraduated in 2000 with a Bachelor of Commerce majoring in Actuarial StudiesJoined Wa

8、tson 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 FitzpatrickWorking at Watson Wyatt John FerraroJoined Watson Wyatt in 1994Worked in a number of departments:- IT- IT/Administration- Superannuation