Asset liability management : evidence from the Banco de Portugal defined benefit pension fund

• Autor(a) principal: Garcia, Maria Teresa
• Data de Publicação: 2021
• Outros Autores: Gabriel, Liane Costa
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.5/20821
• topic: Pension Funds; Pension Plans; Asset Liability Management; Risk Management; Funding Ratio

The level of financing of pension funds and the inherent risk of default is an issue which has assumed increasing relevance, due to the difficulties that pension funds have been facing over recent years, which mainly result from changes in demographic conditions, such as the ageing of the population and increasing longevity, compounded by the 2008 financial crisis and the Great Recession. Asset Liability Management (ALM) models can be employed to optimise assets and liabilities, and at the same time minimise the risks of a fund, whereby the choice of the best model for a fund depends on the fund’s specific characteristics and riskreturn profile. This paper is mainly a theoretical study, where a literature review is first carried out both on pension plans and pension funds and also on the importance of ALM. This is followed by an analysis of the evolution of this risk management instrument and a description of the selected models is then presented. To conclude, an analysis of the application of ALM for a pension fund, the Banco de Portugal defined benefit pension fund, is carried out.