华信惠悦 资产负债模型(Asset Liability Model)

WWW.WATSONWYATT.COMUniversityofNSW23September2002GuestLectureJohnFerraroJamesFitzpatrickAgendaAssetLiabilityModelling(ALM)WorkingatWatsonWyatt-JamesFitzpatrick-JohnFerraroPleaseinterruptifyouhaveaquestionThe“Problem”ATrustee’ssuperannuationfundhaslost10%overthelastfewyearsduetopoorinvestmentmarkets.Withthecoverageofassetsoverliabilitiesnowatonly100%,furtherlosseswillmeanthattheFundwillbeunder-funded.The“Problem”:theTrusteehasaskedforstrategicadvicetominimisethechancethattheFund’scoverageofliabilitiesfallsfurther.TheSolutionTheTrusteecanbenefitfromanALMWhatisanALM?Whyisitneededhere?-stochasticmodelversusdeterministic-identifiesriskThesolutionmightmeananewstrategyStepsinALMSettingassetassumptionsSettingassetallocationstrategiesBuildingtheliabilitymodelRunningsimulationsInterpretingresultsAssetAssumptionsGlobalframework/modelReturns,standarddeviationsandcorrelations:-Australianequities-Internationalequities-Australianfixedinterest-Listedproperty-Directproperty-Internationalfixedinterest-Cash-Inflation,andmore……AssetallocationstrategiesTheStrategyisthelongtermweightorallocationtoeachassetclassExample:Australianequities30%Internationalequities30%Property10%Australianfixedinterest15%Internationalfixedinterest15%LiabilityModelActuarialinputusefulforsuperannuationfundsImitateactuarialvaluationsincalculatingcontributionratesundereachscenarioConflict:Actuarial(prudent)versusALM(bestestimate)assumptionsRunningSimulationsHowmanyisenough?5000?Platform?WatsonWyattusesExcel/VisualBasicDatastoredinAccesstablesComplexfundscantakeanumberofhourstorunInterpretingResultsResultsneedtobeinterpretedandpresentedtotheclientRecommendationsmay(andusually)domeanachangeinstrategyExamplesofresults:Example1:ReturnDefinition?VestedBenefitsIndexXYZSuperannuationFundVBIinyear2011(Activemembersonly)(Pensionliability80%immunised)0%50%100%150%200%0%Growth10%Growth20%Growth30%Growth40%Growth50%Growth60%Growth70%Growth80%Growth90%Growth100%Growth5th-25thpercentile25th-50th50th-75thExample2:RiskDefinition?Probabilityofunder-fundingXYZSuperannuationFund80%ImmunisedProbabilityofVBI<100%inatleastoneyearovertheperiod-Current40%50%60%70%80%90%2002200320042005200620072008200920102011YearGraduatedin2000withaBachelorofCommercemajoringinActuarialStudiesJoinedWatsonWyattin2001intheactuarialpracticeWorkinclientteamshelpingTrustees:-actuarialvaluations-grouplifereviews-adhocproblemsolving(eglegislativechanges)WorkingatWatsonWyatt–JamesFitzpatrickWorkingatWatsonWyatt–JohnFerraroJoinedWatsonWyattin1994Workedinanumberofdepartments:-IT-IT/Administration-SuperannuationConsulting-InvestmentConsultingCurrentlyprovideinvestmentadvicetoTrusteesonstrategy,managerselectionandmonitoring.