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1、JohnFerraroJamesFitzpatrickAgendal。AssetLiabilityModelling(ALM)eWorkingatWatsonWyatt-JamesFitzpatrick-JohnFertarcPleaseinterruptifyouhaveaquestionThe“Problem2ATrusteessuperannuationfundhaslost10%overthelastfewyearsduetopoorinvestmentmarkets.Withthecoverageofassetsoverliabilitiesnowatonly10096,furthe
2、rlosseswillmeanthattheFundwillbeunder-funded.。The“Pproblsm“:theTrusteehasalskedforstrategicadvicetominimisethechancethattheFundscoverageofliabilitiesfallsfurther.MTheSolutionTheTrusteecanbenefitfromanALMWhatisanALM2Whyisitneededhere?-stochasticmodelversusdeterministic-identifiesriskThesolutionmightm
3、eananewstrategyStepsinALMIsSettingassetassumptionssSettingassetallocationstrategieseBuildingtheliabilitymodel。RunningsimuiationseInterpretingresultsAssetAssumptionss“Globalframework/modelReturns,standarddeviationsandcorrelations:-Australianequities-Internationalequities-Austfalianfixsdinteressi-List
4、edproperty-Directproperty-Internationalfixedinterest-Cash-Inflation,andmore.AssetallocationstrategiessTheStrategyisthelongtermweightorallocationtoeachassetclass。Example:Australianequities3056Internationalequities30?6Property1096Australianfixedinterest1596Internationalfixedinterest“15fLiabilityModelA
5、ctuarialinputusefulforsuperannuationfunds。Imitateactuarialvaluationsincalculatingcontributionratesundereachscenario。“Conflict:Actuarial(prudent)versusALM(bestestimate)assumptionsMRunningSimulationsHowmanyisenough?5000?Platform?WatsonWyattusesExcelVisualBasicDatastoredinAccesstablesComplexfundscantakeanumberofhourstorunMInterpretingResultsResultsneedtobeinterpretedandpresentedtotheclientRecommendationsmay(andusually)domeanachangeinstrategyExamplesofresults:
