华信惠悦资产负债模型

华信惠悦资产负债模型2024/3/11华信惠悦资产负债模型AgendaAssetLiabilityModelling(ALM)WorkingatWatsonWyatt

-JamesFitzpatrick

-JohnFerraroPleaseinterruptifyouhaveaquestion华信惠悦资产负债模型The“Problem”ATrustee’ssuperannuationfundhaslost10%overthelastfewyearsduetopoorinvestmentmarkets.Withthecoverageofassetsoverliabilitiesnowatonly100%,furtherlosseswillmeanthattheFundwillbeunder-funded.The“Problem”:theTrusteehasaskedforstrategicadvicetominimisethechancethattheFund’scoverageofliabilitiesfallsfurther.

华信惠悦资产负债模型TheSolutionTheTrusteecanbenefitfromanALMWhatisanALM?Whyisitneededhere?

-stochasticmodelversusdeterministic

-identifiesriskThesolutionmightmeananewstrategy华信惠悦资产负债模型StepsinALMSettingassetassumptionsSettingassetallocationstrategiesBuildingtheliabilitymodelRunningsimulationsInterpretingresults华信惠悦资产负债模型AssetAssumptionsGlobalframework/modelReturns,standarddeviationsandcorrelations:

-Australianequities

-Internationalequities

-Australianfixedinterest

-Listedproperty

-Directproperty

-Internationalfixedinterest

-Cash

-Inflation,andmore……华信惠悦资产负债模型AssetallocationstrategiesTheStrategyisthelongtermweightorallocationtoeachassetclassExample:

Australianequities 30%

Internationalequities 30%

Property 10%

Australianfixedinterest 15%

Internationalfixedinterest 15%华信惠悦资产负债模型LiabilityModelActuarialinputusefulforsuperannuationfundsImitateactuarialvaluationsincalculatingcontributionratesundereachscenarioConflict:Actuarial(prudent)versusALM(bestestimate)assumptions华信惠悦资产负债模型RunningSimulationsHowmanyisenough?5000?Platform?WatsonWyattusesExcel/VisualBasicDatastoredinAccesstablesComplexfundscantakeanumberofhourstorun华信惠悦资产负债模型InterpretingResultsResultsneedtobeinterpretedandpresentedtotheclientRecommendationsmay(andusually)domeanachangeinstrategyExamplesofresults:华信惠悦资产负债模型Example1:ReturnDefinition?VestedBenefitsIndex华信惠悦资产负债模型Example2:RiskDefinition?Probabilityofunder-funding华信惠悦资产负债模型Graduatedin2000withaBachelorofCommercemajoringinActuarialStudiesJoinedWatsonWyattin2001intheactuarialpracticeWorkinclientteamshelpingTrustees:

-actuarialvaluations

-grouplifereviews

-adhocproblemsolving(eg