University　of　NSW-资产负债模型-Asset　Liability　Model(ppt　15).rar University　of　NSW 23　September　2002　Guest　Lecture John　Ferraro James　Fitzpatrick Agenda Asset　Liability　Modelling　(ALM) Working　at　Watson　Wyatt-　James　Fitzpatrick-　John　Ferraro Please　interrupt　if　you　have　a　question The　＂Problem＂ A　Trustee＇s　superannuation　fund　has　lost　10%　over　the　last　few　years　due　to　poor　investment　markets.　　With　the　coverage　of　assets　over　liabilities　now　at　only　100%,　further　losses　will　mean　that　the　Fund　will　be　under-funded. The　＂Problem＂:　the　Trustee　has　asked　for　strategic　advice　to　minimise　the　chance　that　the　Fund＇s　coverage　of　liabilities　falls　further.  The　Solution The　Trustee　can　benefit　from　an　ALM What　is　an　ALM? Why　is　it　needed　here?-　stochastic　model　versus　deterministic-　identifies　risk The　solution　might　mean　a　new　strategy