SPECIAL COURSE
  ASSET AND LIABILITY MANAGEMENT FOR PENSION FUNDS

 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

 
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