JohnFerraroJamesFitzpatrickAgendal。AssetLiabilityModelling(ALM)eWorkingatWatsonWyatt-JamesFitzpatrick-JohnFertarcPleaseinterruptifyouhaveaquestionThe“Problem2ATrusteessuperannuationfundhaslost10%overthelastfewyearsduetopoorinvestmentmarkets.Withthecoverageofassetsoverliabilitiesnowatonly10096,furtherlosseswillmeanthattheFundwillbeunder-funded.。The“Pproblsm“:theTrusteehasalskedforstrategicadvicetominimisethechancethattheFundscoverageofliabilitiesfallsfurther.MTheSolutionTheTrusteecanbenefitfromanALMWhatisanALM2Whyisitneededhere?-stochasticmodelversusdeterministic-identifiesriskThesolutionmightmeananewstrategyStepsinALMIsSettingassetassumptionssSettingassetallocationstrategieseBuildingtheliabilitymodel。RunningsimuiationseInterpretingresultsAssetAssumptionss“Globalframework/modelReturns,standarddeviationsandcorrelations:-Australianequities-Internationalequities-Austfalianfixsdinteressi-Listedproperty-Directproperty-Internationalfixedinterest-Cash-Inflation,andmore.AssetallocationstrategiessTheStrategyisthelongtermweightorallocationtoeachassetclass。Example:Australianequities3056Internationalequities30?6Property1096Australianfixedinterest1596Internationalfixedinterest“15fLiabilityModelActuarialinputusefulforsuperannuationfunds。Imitateactuarialvaluationsincalculatingcontributionratesundereachscenario。“Conflict:Actuarial(prudent)versusALM(bestestimate)assumptionsMRunningSimulationsHowmanyisenough?5000?Platform?WatsonWyattusesExcelVisualBasicDatastoredinAccesstablesComplexfundscantakeanumberofhourstorunMInterpretingResultsResultsneedtobeinterpretedandpresentedtotheclientRecommendationsmay(andusually)domeanachangeinstrategyExamplesofresults: