Sumários
ALM in Pension Funds
6 Dezembro 2012, 08:00 • Fátima Pires Lima
Measurements of investment performance used in Pension Funds: IRR, TWR, alpha, beta, coefficient of determination, tracking error, sharpe ratio and information ratio.
Actuarial Factors and their interrelationship in an ALM Model
Definition of Risk, Risk analysis and Risk Management.
The Three main categories of ALM Models: Static Models, Dynamic Models, Stochastic Models.
Macauley Duration, Convexity, stress tests and scenarios testing, and stochastic model.
Model for simulate Mortality, termination, retirement and other decrements, annual salary increases, annual inflaction and Investment Returns.
Example of simulation of number of death and plan termination.
Example of a Visual Basic program to simulate the number of death.
DC Pension Funds
29 Novembro 2012, 08:00 • Fátima Pires Lima
DC pension plans with target-benefit
Solving an exercise
Financial and actuarial Gains and losses
22 Novembro 2012, 08:00 • Fátima Pires Lima
Determining financial gains and losses
Determining actuarial gains and losses
DC pension Funds: expected value of individual accounts and benefits at retirement age
DC pension plans with target-benefit
Pension Accounting
15 Novembro 2012, 08:00 • Fátima Pires Lima
Solving some exercises
Items necessary for accounting liabilities of pension funds
Requirements according to IAS19 and changes introduced by the IAS19R