SYSTEM AND METHOD FOR DE-RISKING A PENSION FUND

摘要

A system for de-risking a pension fund, the system including: an input module for receiving asset class forecasts; a modeling module for modeling a plurality of portfolios based on the asset class forecasts to provide a de-risking framework; an asset mix module for receiving an asset mix for each of the model portfolios based on the de-risking framework; a database for storing data related to the asset class forecasts, the model portfolios, and asset mix; a processor configured to monitor the model portfolios for performance within the de-risking framework by: calculating an indicator of funded status volatility; comparing the indicator with a benchmark; and reporting the result. In particular, the indicator of funded status volatility is a liability tracking error and the benchmark is the liability tracking error of a conventional or standard pension portfolio.