文档介绍：ALM in action - some case studies ALM实例
ALM in action.
- some case studies ALM实例
Jeremy Porter, FIA
Robert Chen, FIAA
Beijing
28 June 2005
Asset & Liability Management
Asset allocation.
Asset & Liability Management
Introduction
引言
The case study 案例研究
Company X
Based on a real case 根据真实案例
Low interest rate environment 低利率环境
pany with foreign parent 亚洲公司,有国外母公司
Numerical example 数字实例
Dynamic Life
Asset & Liability Management
Questions to answer
需回答的问题
What mix of equity and bond investments 权益与债券投资的混配如何?
Management want higher equity content 管理层要求有更高的权益成份
Foreign parent is concerned about medium-term risk 外国母公司担心中期风险
Does pany have enough capital 该公司是否有足够资本?
Initial aim of the investigation 调查的原始目的:
Gain evidence to support the desire for more equity investment 为支持更多权益投资这一愿望取得证据
Asset & Liability Management
Company X’s environment
X公司的环境
Competition 竞争
Company X and a few panies were regarded as market leaders X公司和其他几个公司都被认为是市场牵头公司
Competitive pressure keeping policy cash dividends at an unsustainable level 竞争的压力使得政策规定的现金股息保持在不可持续的水平
Major risk of agents leaving if products are petitive 主要危险:如果产品不具有竞争力,代理商有可能跑掉
Investment environment 投资环境
Lack of local currency long-term bonds 缺少以本地货币结算的长期债券
Interest rates at historically low levels 利率处于历史低水平
Asset & Liability Management
Expertise 专长
Company X already had some ALM capability X公司已经具备一些ALM能力
Ability to project specific scenarios 预测具体情境的能力
Detailed 1-year probability-based technique used to set asset allocations 根据一年概率详细确定资产分摊的技巧
Why ask Deloitte Actuarial to help 为什么求助于Deloitte Actuarial咨询公司?
ALM experience ALM方面的经验
Using Prophet projection software system 使用 Prophet 预测软件系统
Urgent project 紧急计划
Asset & Liability Management
The consulting assignment 咨询工作的委派
Advise on an asset allocation strategy 对资产分摊策略的咨询
Advise on the level of capital required, consistent with 对所要求资本水平的咨询,以适合
the asset strategy and 资产策略,以及:
pany’s appetite for risk 公司对风险的偏好