Asignación Estratégica de Fondos de Reserva de Pensiones: Aplicación del Modelo ALM y LDI Técnica
DOI:
https://doi.org/10.46661/revmetodoscuanteconempresa.3322Palabras clave:
solvencia, fondo de reservas, generación de escenarios económicos (ESG), simulación de Monte Carlo, modelo ALM, asignación estratégica, estrategia LDI, régimen de pensiones civiles marroquíesResumen
Este artículo se centrará en la investigación para la asignación estratégica del fondo de reserva del plan de pensiones marroquí para garantizar y mejorar su solvencia. El primer objetivo de este documento es construir y probar un generador de escenarios económicos (ESG) basado en un modelo inspirado en el enfoque Ahlgrim (2005) y adaptado a las especificidades de la gestión de activos y pasivos (ALM) y la inversión basada en pasivos (LDI)
En nuestro estudio, también desarrollaremos la técnica ALM basada en la maximización de la reserva bajo el criterio de maximización de coeficiente de solvencia (ya que el fondo está en déficit). Para hacer esto, consideramos un enfoque de asignación estratégica de activos reciente basado en el "peso constante "estrategia, o Fixed-Mix, Kouwenberg (2001). De hecho, implementaremos las estrategias LDI basadas en el modelo de Sharpe y Tint (1990). Para eso, primero intentaremos encontrar las ponderaciones deseadas de las clases de activos solo en un contexto de activos. Luego, tratamos de construir una cartera de cobertura (LHP) y una cartera de investigación de rendimiento (PSP).
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