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Defined-Benefit ALM measures the market risk exposure of a pension fund, allowing for the specific detail of investment strategy, funding strategy, and pension liabilities. It empowers the investment manager to identify individual risk factors, and perform at-a-glance analysis of the specific risk exposures confronting the fund.

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

  • Access consistent projections of assets and liabilities over multiple periods, using your choice of highly flexible rebalancing methods, including dynamic rebalancing options.
  • 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.

Produce Stochastic Modeling of Market and Longevity Risk for Pension Fund 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, including dynamic rebalancing.
  • Understand the impact of more frequent monitoring, by projecting using monthly time steps.

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