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首页> 外文会议>System Dynamics Society International Conference; System Dynamics Society Anniversary Celebration; 20070729-0802; 20070729-0802; Boston,MA(US); Boston,MA(US) >Dynamic Stochasticity in the control of liquidity in Asset and Liability Management (ALM) for pension funds
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Dynamic Stochasticity in the control of liquidity in Asset and Liability Management (ALM) for pension funds

机译：养老基金资产和负债管理（ALM）中流动性控制中的动态随机性

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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
机译：许多作者认识到，ALM不仅仅是科学，而且是实践的发展领域。系统动态可能为精算师和财务经理以及董事会和行政理事会提供重要的工具。在巴西，由于经济的稳定，ALM正在增长，养老基金的技术人员正在扩展其知识库，以便在其中开展更多的工作。根据养老基金的承诺，他们正试图预见或预测资产的充足性，保持资产的分离和多样化，并与负债的发展联系起来。ALM尚未成为管理的重中之重，缺乏有效的动态机制可能代表长期负债和所涉及风险的模型。为了更好地管理董事会，行政理事会，精算师和财务经理之间的沟通，以确保PF政治得以妥善管理，必须对某些假设和实践进行充分的记录，量化和理解。 。在资产组合的基础上，人们可以从资产负债表的负债方，资产方（资产组合比负债更易于调整）或从信贷策略的角度来采用ALM。因为是管理层，所以实践表明，精算师必须参与资产组合的分配决策，并且必须与财务经理更紧密地管理资产和负债，并且彼此之间应进行更多的合作。更好地管理公司治理的担忧正在改变这种组织和方式。他们的管理习惯。信息系统不断发展，并成为有关如何管理负债和资产以及如何进行协调的信息。资产分配决策必须基于许多方案和负债评估，这可以给出有关投资回报和负债行为的假设。年金必须通过反映短期内补偿的实际利率进行管理。必须在董事会成员一级考虑资产的证券和其他对冲期权。预期监管环境和因素变动的需要导致动态模型可能以随机方式显示其风险特征并可能预测一些可能进化。投资组合必须根据相关基准进行管理，这些基准必须反映收益目标，价差，凸度，期限，质量和流动性。随机流动性过程应：1。反映短期现金流量的变动，代表资产和负债的价值； 2。表现出一些长期均值回归特征，反映了养老基金的偿付能力和股权均衡； 3。利用表达波动性的市场模型和方法中可用的市场数据; 4。保持其他随机变量源与确定性因素的精算影响之间可能的相互关联; 5。反映长期不确定性动态资产和负债模型变量之间的数学关系必须根据养老基金的不同到期阶段考虑不同的风险，因为大多数决策是在未事先了解其后果的情况下做出的，因此有时仍然很难使管理者获得在正确的时间以低成本提供准确的信息。通过这种方式，启发式技术是基于默认的业务知识进行的。我们看到，因果思维可用于识别风险因素并量化其对系统的影响。系统动力学中行为的基本模式（例如指数增长，目标寻求以及由正反馈或负反馈引起的具有或不具有时间延迟的振荡）是ALM分析中可能考虑的潜在风险来源，这放大了其能力，而不仅仅是资产负债表也是一种面向风险的方法。由于不确定性下的决策变得复杂，特别是因为对整个系统的长期最佳利益了解不足，因此很可能

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