PURPOSE

To present techniques and modern instruments for investment and risk assessment for pension funds in Brazil, and instruments for fund management and business strategies related to funds.

 MAIN TOPICS

. The assets and liabilities portfolio
. Liquidity dynamics
. Aggregation of assets and liabilities
. The ideal benchmark and maverick risk
. Benefits and overlife
. Calculation of portfolio volatility and of excess returns
. Assets and liabilities matching
. Scenarios via Monte Carlo and Stress
. Growing of wage mass
. Duration, TIR and term structure
. Actuarial equilibrium and ALM for pension funds
. Short and long term strategy
. IGPM Term structure
. Active versus passive management
. Investment indexes
. Aggregate model for wages
. Flow models
. Statistical optimization and duration match
. Long term investment policy
. Rules for benefits and biometric risks
. Regulation
.Mathematical reserve and discount rate
. Return and covariance of main assets
. Benefit readjustment risk
. Selecting an outsider as manager
. Plan simulation
. Benefits and contributions simulation
. Federal bonds / securities in pension funds