Strategic allocation of reserve pension funds: application of ALM model and LDI technique // Asignación Estratégica de Fondos de Reserva de Pensiones: Aplicación del Modelo ALM y LDI Técnica

Autores/as

  • Latifa Aitoutouhen Faculty of Law, Economics and Social Sciences. University Abdel Malek Essâadi (Tetouan, Morocco)
  • Faris Hamza Faculty of Law, Economics and Social Sciences. University Abdel Malek Essâadi (Tetouan, Morocco)

Palabras clave:

solvencia, fondo de reservas, generación de escenarios económicos (ESG), simulación de Monte Carlo, modelo ALM, asignación estratégica, estrategia LDI, régimen de pensiones civiles marroquíes.

Resumen

Este artículo se centrará en la investigación para la asignación estratégica del fondo de reserva del plan de pensiones marroquí para garantizar y mejorar su solvencia. El primer objetivo de este documento es construir y probar un generador de escenarios económicos (ESG) basado en un modelo inspirado en el enfoque Ahlgrim (2005) y adaptado a las especificidades de la gestión de activos y pasivos (ALM) y la inversión basada en pasivos (LDI)

En nuestro estudio, también desarrollaremos la técnica ALM basada en la maximización de la reserva bajo el criterio de maximización de coeficiente de solvencia (ya que el fondo está en déficit). Para hacer esto, consideramos un enfoque de asignación estratégica de activos reciente basado en el "peso constante "estrategia, o Fixed-Mix, Kouwenberg (2001). De hecho, implementaremos las estrategias LDI basadas en el modelo de Sharpe y Tint (1990). Para eso, primero intentaremos encontrar las ponderaciones deseadas de las clases de activos solo en un contexto de activos. Luego, tratamos de construir una cartera de cobertura (LHP) y una cartera de investigación de rendimiento (PSP).

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This article will focus on the research for the strategic allocation of reserve fund of the Moroccan pension scheme in order to ensure and improve its solvency. The first aim of this paper is to construct and test an Economic Scenario Generator (ESG) based on a model inspired of the Ahlgrim approach (2005) and adapted to the specificities of asset-liability management (ALM) and liability-driven investing (LDI).

In our study, we will also develop the ALM technique based on the maximization of the reserve under the criterion of maximization of solvency ratio (since the fund is in deficit).To do this, we consider a recent strategic asset allocation approach based on the "constant weight" strategy, or Fixed-Mix, Kouwenberg (2001). Indeed, we will implement the LDI strategies based on the Sharpe and Tint model (1990). For that, we will first try to find the desired weightings of the asset classes in an asset context only. Afterwards, we try to build a hedge portfolio (LHP) and a performance research portfolio (PSP).

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Biografía del autor/a

Latifa Aitoutouhen, Faculty of Law, Economics and Social Sciences. University Abdel Malek Essâadi (Tetouan, Morocco)

Department of Economics and Management

Faris Hamza, Faculty of Law, Economics and Social Sciences. University Abdel Malek Essâadi (Tetouan, Morocco)

Department of Economics and Management

Citas

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Publicado

2019-11-19

Cómo citar

Aitoutouhen, L., & Hamza, F. (2019). Strategic allocation of reserve pension funds: application of ALM model and LDI technique // Asignación Estratégica de Fondos de Reserva de Pensiones: Aplicación del Modelo ALM y LDI Técnica. Revista De Métodos Cuantitativos Para La Economía Y La Empresa, 28, 381-425. Recuperado a partir de https://www.upo.es/revistas/index.php/RevMetCuant/article/view/3322

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