Dynamic Stochasticity in the control of liquidity in Asset and Liability Management (ALM) for pension funds
Many authors recognize that ALM is more art than science and is a developing area of practice. System dynamics may provide important tools to actuaries and financial managers as well as the board of directors and administrative council. In Brazil, because the stability of the economy, ALM is growing and technicians in a pension fund is expanding their knowledge base to do more work in it. Accordingly to the promise a pension fund does, they are trying to foresee or forecast asset adequacy, maintain it segregated and diversified and connected to the evolution of the liabilities.ALM is not yet a top priority of management and there is a lack of efficient dynamic models that may represent long-term liabilities and the risks involved. Some assumptions and practices must be well documented, quantified and understood in order to better manage the communication between the board of directors, the administrative council, actuaries and financial managers to assure that PF politics may be well managed.There are many ways to do ALM. In a portfolio basis, people can approach ALM from the balance sheet liability side, from the asset side where the portfolio is easier to adjust than the liabilities or from credit strategy point of view. Because it is management, the practices revealed that actuaries must be involved in assets portfolio allocation decision and must manage assets and liabilities much more closely with financial managers and cooperate more to each other.Concerns to better manage corporate governance are changing this kind of organization and their management practices. Informational systems are evolving and become to inform about how to manage the liabilities and assets, and how to coordinate them. The assets allocations decision must be based on many scenarios and on a liability appraisal, which can give hypothesis about investment returns and the liabilities behavior. Annuities must be managed by realistic rates that reflect compensations in the short run. Securities and other hedge options for the assets must be considered on the board members level.The need to anticipate the regulatory environment, and factors movement lead to dynamic models that may show in a stochastic way their risks characteristics and may anticipate some issues that are likely to evolve. The portfolio must be managed against relevant benchmarks that must reflect yield targets, spreads, convexity, duration, quality and liquidity.Stochastic liquidity processes should:1. Reflect the short-term cash flow movements, representing the asset and liabilities values;2. Exhibit some long-term mean reversion characteristics, reflecting the solvency of the pension fund and the equity equilibrium;3. Utilize available market data from market models and methodologies that express volatility;4. Maintain possible cross-correlations between other sources of stochastic variables and actuarial influences of deterministic factors;5. Reflect long-term uncertaintiesThe mathematical relations between dynamic asset and liability model variables must consider different risks according to different maturity stages of a pension fund.Because most decisions are made without advance knowledge of their consequences, it is sometimes still difficult to a manager to obtain precise information on the right timing at a low cost. This way, heuristics have been made based on tacit business knowledge.As we see, causal thinking may be used to identify risk factors and quantify their impacts on the system. The basic modes of behavior in system dynamics like exponential growth, goal seeking, and oscillations created by positive or negative feedback with time delays or not, are potential sources of risk that may be considered in an ALM analysis, amplifying it capability to be not just balance-sheet but also a risk oriented approach.Since the decisions under uncertainty become complex, specially because the low comprehension of the long term best interests of the system as a whole, it is possibl......
【作者名称】: Ricardo Matos Chaim
【作者单位】: University of Brasilia
, Getulio Vargas Foundation
【关 键 词】: Dynamic Stochasticity in the control of liquidity in Asset and Liability Management (ALM) for pension funds
【会议名称】: System Dynamics Society International Conference; System Dynamics Society Anniversary Celebration; 20070729-0802; 20070729-0802; Boston,MA(US); Boston,MA(US)
【会议组织】: University of Brasilia; DATAPREV; Getulio Vargas Foundation
【上篇论文】: 外文会议 - A PRELIMINARY MODEL OF THE VULNERABILITY BLACK MARKET
【下篇论文】: 外文会议 - From Computing with Numbers to Computing with Words ― From Manipulation of Measurements to Manipulation of Perceptions
目的:肿瘤化疗是治疗肿瘤的重要手段之一,它大大提高了一些肿瘤治愈的可能性.然而,肿瘤细胞耐药(Drug resistance)往往导致化疗的失败.肿瘤细胞对一种药物耐药后,往往也会对不同化学结构和不同作用机制的药物同时耐药,这就是多药耐药(Multidrug resistance).目前,研究MDR的机理成为肿瘤研究的主攻方向,其中由多药耐药基因(mdrl)编码的分子量为170kD的P糖蛋白(P- [肿瘤化疗,盐酸千金藤碱,K562细胞,ADR细胞,多药耐药性,P糖蛋白表达]......
目的:FFP经过去白、血液辐照仪辐照去除或灭活白细胞后,测定凝血功能检测指标.评价去白及辐照对凝血系统中各种凝血因子的影响.方法:1.取泸州市中心血站采集的30例健康献血者的FFP 30袋,每袋50ml,采用随机区组单盲(检测者不清楚分组情况)设计.每袋血浆分为3个实验组为一个区组,共30个区组,每个区组内有三个检测样本,共90个分析样本.每次实验,将6例FFP于冰箱中取出解冻后,每例FFP经一次 [新鲜冰冻血浆,白细胞过滤,射线辐照,凝血因子]......
本文研究目的:将冠状动脉造影(CAG)结果与心电图(ECG)变化对比分析,探讨心电图ST/T改变在判断急性冠脉综合征(ACS)患者冠脉血管病变中的应用价值. 研究方法:回顾分析2004年5月至2006年12月以"ACS"收入我院心脏科的患者310例,其中男性215例,女性95例,年龄30-80岁(平均年龄57.60±10.46岁).所有患者均进行CAG和ECG检查.冠状动脉狭窄≥50％有意义.心电 [急性冠脉综合征,冠状动脉造影,心电图,血管病变]......
- Effects of different doses of allergen on acute and subacute mouse models of asthma
Objectives:We aimed to establish ovalbumin (OVA)-induced acute and sub-acute mouse models ofasthma and evaluate effects of intranasal inhalation of various doses of OVA on airways inflammation,remodel [哮喘,发病机制,炎性细胞,动物模型]......
目的：根据不同病理类型及相关亚型甲状腺癌的临床生物学特征，结合声像图特点，创建甲状腺癌、甲状腺乳头状癌及甲状腺癌颈部转移淋巴结的超声分型。同时，将超声应用于甲状腺癌的临床分期，实现对甲状腺癌患者术前合理评估、精确分期及个体化治疗。rn 方法：收集有完整病例记录、有完整的甲状腺肿瘤超声图像及明确病理诊断的甲状腺癌病例407例，通过回顾性研究，计算超声诊断甲状腺癌的准确率，并分析比较不同病理类型及相关 [甲状腺癌,超声诊断,临床分期,病理类型,个体化治疗]......
- Treatment of frozen shoulder by hydraulic distention and manipulation under dynamic arthrography of shoulder joint
Objective The investigation was to evaluate the efficiency of the frozen shoulder treated by hydraulic distention and manipulation under dynamic arthrography of shoulder joint, and analyze the influen [Treatment,frozen shoulder,hydraulic distention,manipulation under,shoulder joint,冻结肩]......
- 中药材商品规格等级标准研制进展 (詹志来,黄璐琦,何雅莉,金艳,杨光)
Ⅰ自然定律——不可抗拒力rn 自古以来，宇宙万物皆由大自然定律衍生，人类若然浪费时光及暴殄天物，将会是罪过的，及破坏人类文明的进程。相反，人类若能善用地球资源，将可建立巩固的平台，为未来世代向前发展提供动力。rn 作为创建楼宇及城市，也许该说是环境建设的专业人士，对于依从宇宙自然定律，是不置疑的责任，亦是良知使然，我们必须要时刻提醒自我的天赋的责任。rn 楼宇的设计师(建筑师、工程师、规划师等)所 [楼宇生命力,楼宇设计,可持续建筑,生命周期,太阳能]......
- Reworking Package on Package components
In 2007 Lead Free Package POP (Package on Package) will be a major new device to hit the streets this year and will challenge many to re-evaluate their soldering and rework products/processes.The impl [POP,package on package,Reworking,components]......