Method and Apparatus of Determining Funded Status Volatility

摘要

A volatility level associated with the funding level of a fund may be assessed with a memory and a processor. The processor is configured to store a plurality of data structures in memory. The data structures comprises a plurality of data items associated together as volatility measures, correlation measures that corresponds to correlation of the asset returns within the fund, duration measures that are related to the volatility measures, and holdings in the fund. The processor determines an asset class volatility measure based in part upon the volatility measures, the correlation measures, the duration measures, and the holding in the fund. The processor also determines a liability measure associated with the fund, a holding volatility measure based upon the asset class volatility measure and the percentage weight of the holding in the fund. The processor calculates a funded status volatility by comparing the holding volatility measure to the liability measure.