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Asset Liability Modeling

Asset Liability Model Overview

The asset liability modeling (ALM) tool analyzes the available assets, required future contributions, and strategic asset allocation against the expected future liabilities. The following simulation models are supported for portfolio returns:

  • Historical Returns - Simulate future returns by randomly selecting the returns for each year based on available historical returns
  • Forecasted Returns - Simulate future returns based on any forecasted mean and standard deviation of assets
  • Statistical Returns - Simulate future returns based on the mean, volatility and correlations of portfolios assets
  • Parameterized Returns - Simulate future returns based on the specified statistical distribution

The future contributions and liabilities can be provided as fixed periodic cashflows, or as custom imported cashflow sequences. Both cashflow types can be either nominal or inflation indexed.

Asset Liability Model Configuration

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