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Titel (übersetzt): 
Asignación estratégica de fondos de reserva de pensiones: Aplicación del modelo ALM y LDI técnica
Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 28 [Year:] 2019 [Pages:] 381-425
Verlag: 
Universidad Pablo de Olavide, Sevilla
Zusammenfassung: 
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).
Schlagwörter: 
solvency
reserves fund
economic scenario generation (ESG)
Monte Carlo simulation
ALM model
strategic allocation
LDI strategy
Moroccan civil pensions regime
JEL: 
G11
G12
G17
G22
G63
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