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Defined-Benefit ALM measures the market-risk exposure of a pension scheme, allowing for the specific detail of investment strategy, funding strategy, and scheme liabilities. Decomposing the overall risk into the individual risk factors allows at-a-glance analysis of the specific risk exposures confronting the scheme.

Understand the Impact of Key Risk Drivers on Scheme Investment and Funding Strategies

  • Access consistent projections of assets and liabilities over multi-year periods and various time steps, using your choice of rebalancing methods, including dynamic rebalancing.
  • Gain full access to model parameters, supported by a comprehensive suite of calibration tools and a wide range of user-selectable output variables.
  • Model multiple funds across multiple economies, each with full coverage of interest rates and asset classes, including equity, property, credit, and alternatives.
  • Value liabilities based on government, swap, or corporate curves; Limited Price Indexation; different pre- and post-retirement increase types, and granular modeling of accruals at the tranche level.
  • Model pooled, liability-driven investment (LDI) funds and various equity, interest rate, and inflation derivatives, including Limited Price Index (LPI) swaps.

Stochastic Modeling of Market and Longevity Risk for Pension Scheme Management

  • Quantitatively compare alternative asset allocation strategies and their impact on funding levels and surpluses.
  • Assess how investment strategy influences deficit recovery schedules and contribution levels.
  • Design and test the effectiveness of hedging strategies, using a comprehensive array of derivative instruments, including LPI swaps.
  • Investigate the impact of potential de-risking strategies, using dynamic rebalancing.
  • Project on a monthly time step to understand the impact of more frequent monitoring.

Product Brochure


Multi-Asset Portfolio Management

Moody's Analytics economic scenario and asset-liability modeling offerings support investment design and risk management activities.

Pension Fund Investment and Risk Management

Moody's Analytics solution enables defined benefit pension managers to design investment strategies and investigate funding solutions to secure scheme objectives.