Moody’s Analytics helps defined-benefit pension managers and advisers measure market risk exposure, allowing for investment strategy, funding strategy, and liabilities. We help managers achieve their objectives by providing insight into investment and funding strategies.
Our pension and investment solutions are built on our Economic Scenario Generator, which delivers consistent modeling of a broad range of assets and economic risk drivers. Use them to analyze the impact of strategic asset allocations, design journey plans leading to self-sufficiency or buy-out readiness, and investigate the effect of liability-driven investments. Model alternative assets, including hedge funds and private equity funds, and traditional assets, such as equities, debt, and property, and enable stress tests and sensitivity analyses.
Our advisory team can help you develop your modeling capability, enhance the design of investment strategies, investigate funding solutions, and support a wide range of uses for asset-liability models.
Compare Strategies and Recovery Plans
Compare output metrics, such as funding level, across different investment strategies and recovery plans. Our consistent stochastic projection of assets and liabilities enables you to model journey plans and other future changes in investment strategy. For example, you could evaluate the effect of switching out of return-seeking assets into matching assets at fixed dates in the future. You could compare this to alternatives including dynamic de-risking based on funding level, or setting triggers based on interest rates and inflation to design a hedging overlay that progressively removes interest rate and inflation risk as economic conditions evolve.
Model Liabilities and Tranches
Our solutions enable you to model liabilities in tranches, split by classes of plan member and by increase type. Support multiple tranches of liability with fixed, inflation-linked, and limited price indexation of cash flows with different pre- and post-retirement increase types. Value liabilities based on various rate curves, including government, credit, and swap, with support for different pre- and post-retirement valuation bases. Model accruals separately for each active tranche, enabling the capture of tranche-specific characteristics, such as post-retirement increase type.
Defined-Benefit ALM measures the market risk exposure of pension schemes allowing for the specifics of scheme liabilities and investment and funding strategies.
Pension Risk Analytics measures market-risk exposure of pension schemes, allowing for specifics of scheme liabilities and investment and funding strategies.