Sumários
ALM for Pension Funds
24 Novembro 2011, 08:00 • Fátima Pires Lima
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 plans and investment policy
17 Novembro 2011, 08:00 • Fátima Pires Lima
Various types of DC Pension Plans.
Expected value of the individual account, at retirement date, and the corresponding expected value.
The special case of the DC Pension plan with target-benefit.
Resolution of an exercise.
Principles for the pension's fund management.
Aspects to include in the investment policy.
Aspects to define the investment strategy.
Measures of investment performance, IRR, TWR, Alpha, Beta, R2, Tracking Error, Sharpe Ratio, Information Ratio.
Actuarial Gains and Losses
10 Novembro 2011, 08:00 • Fátima Pires Lima
Determination of actuarial gains and losses due to mortality and other decrements and due to changes in wages and pensions.
Resolution of an exercise .
Advantages and disadvantages of defined contribution pension plans.
Pension Accounting
3 Novembro 2011, 08:00 • Fátima Pires Lima
Identification of
items necessary for
the accounts of
pension
fund
liabilities
.
Requirements in accordance with IAS19 . New requirements under the IAS19R .
Special events such as Plan Terminations, Settlements, Curtailments and Termination Benefits.
Effect of 'smooth' the actuarial and finantial gains and losses.
How to determine the value of Financial Gains and Losses.