華信惠悅資產(chǎn)負債模型

1、W W W . W A T S O N W Y A T T . C O MUniversity of NSW23 September 2002 Guest LectureJohn FerraroJames FitzpatrickAgendalAsset Liability Modelling (ALM)lWorking at Watson Wyatt- James Fitzpatrick- John FerraroPlease interrupt if you have a questionThe “Problem”lA Trustees superannuation fund has los

2、t 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.lThe “Problem”: the Trustee has asked for strategic advice to minimise the chance that the Funds coverage of liabil

3、ities falls further.The SolutionlThe Trustee can benefit from an ALMlWhat is an ALM?lWhy is it needed here?- stochastic model versus deterministic- identifies risklThe solution might mean a new strategySteps in ALMlSetting asset assumptionslSetting asset allocation strategieslBuilding the liability

4、modellRunning simulationslInterpreting resultsAsset AssumptionslGlobal framework/modellReturns, standard deviations and correlations:- Australian equities- International equities- Australian fixed interest- Listed property- Direct property- International fixed interest- Cash- Inflation, and more Ass

5、et allocation strategieslThe Strategy is the long term weight or allocation to each asset classlExample:Australian equities 30%International equities 30%Property 10%Australian fixed interest 15%International fixed interest 15%Liability ModellActuarial input useful for superannuation fundslImitate ac

6、tuarial valuations in calculating contribution rates under each scenariolConflict: Actuarial (prudent) versus ALM (best estimate) assumptionsRunning SimulationslHow many is enough? 5000?lPlatform? Watson Wyatt uses Excel/Visual BasiclData stored in Access tableslComplex funds can take a number of ho

7、urs to runInterpreting ResultslResults need to be interpreted and presented to the clientlRecommendations may (and usually) do mean a change in strategylExamples of results:Example 1: Return Definition? Vested Benefits Index XYZ Superannuation FundVBI in year 2011 (Active members only)(Pension liabi

8、lity 80% immunised)0% 50% 100% 150% 200% 0% Growth10% Growth20% Growth30% Growth40% Growth50% Growth60% Growth70% Growth80% Growth90% Growth100% Growth5th-25th percentile 25th-50th50th-75thExample 2: Risk Definition? Probability of under-funding XYZ Superannuation Fund80% ImmunisedProbability of VBI

9、 100% in at least one year over the period - Current40%50%60%70%80%90%2002200320042005200620072008200920102011YearlGraduated in 2000 with a Bachelor of Commerce majoring in Actuarial StudieslJoined Watson Wyatt in 2001 in the actuarial practicelWork 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 FerrarolJoined Watson Wyatt in 1994lWorked in a number of departments:- IT- IT/Admin