资产负债模型AssetLiabilityModel

1、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 Trustees superannuation fund has lost 10% over the last few years d

2、ue 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 Soluti

3、on,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 Int

4、erpreting 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,Th

5、e 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 calc

6、ulating 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 tables Complex funds can take a number of hours to run,Interpreting R

7、esults,Results need to be interpreted and presented to the client Recommendations may (and usually) do mean a change in strategy Examples of results:,Example 1: Return Definition? Vested Benefits Index,Example 2: Risk Definition? Probability of under-funding,Graduated in 2000 with a Bachelor of Comm

8、erce majoring in Actuarial Studies Joined Watson Wyatt in 2001 in the actuarial practice Work 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 1994 Worked in a number of departments:- IT- IT/Administration- Superannuation Consulting- Investment Con