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View Full Version : Modeling Assets in Alfa


fss8959
09-16-2010, 03:19 PM
We are in the beginning of enhancing our ALM modeling processes within our ERM department. We offer life (trad, term, UL/VUL), annuities (VA, fixed, group) and DI products. Our general account is invested in a full array of fixed income securities (corporates (including callables), agency mortgage backed, treasuries, commercial mortgages, private placements, and small stakes in private equity and preferred/common stock. for our VA hedgin program, we hold interest rate futures, interest rate swaps, equity index futures and puts. We are curious to know as a very general question for purposes of modeling, what types of securities is Alfa best suited for? For other types that not well suited for modelling in Alfa, what are other suggested modeling systems? Thank you.

GadgetGeek
09-17-2010, 10:20 AM
ALFA User.
ALFA does a decent job with callable (and non-callable) bonds. Passthroughs modeled as mortgages aren't really tough. trying to model the various tranches I imagine is tough in any package. Short term abs (credit card/auto), if modeled similar to a mortgage gives reasonable results (as compared to running them through bondedge first)
For future purchases, ALFA offers a bit more flexibililty on CMOs.
We haven't attempted to model our Common Stock. Preferred Stock, we just model as bonds.
We don't model any hedging (not necessary for our product base). Futures/swaps/Equity Index futures/puts...I've no exposure to those.

Run2standstill
09-17-2010, 03:21 PM
Why use Alfa? In my mind, unless you really have a compelling reason such as you really really and really prefer using one system for liability and asset modeling then Alfa may be a choice. There are many superior asset modeling systems that can work well with almost all major actuarial liability system. To name a few, Bondedge, YieldBook, Murex, Blackrock Aladdin, etc If one is really into cutting hedge fixed income/MBS cash flow modeling, there is the "ultimate" system - Intex for 1.5-2m/yr fee.


We are in the beginning of enhancing our ALM modeling processes within our ERM department. We offer life (trad, term, UL/VUL), annuities (VA, fixed, group) and DI products. Our general account is invested in a full array of fixed income securities (corporates (including callables), agency mortgage backed, treasuries, commercial mortgages, private placements, and small stakes in private equity and preferred/common stock. for our VA hedgin program, we hold interest rate futures, interest rate swaps, equity index futures and puts. We are curious to know as a very general question for purposes of modeling, what types of securities is Alfa best suited for? For other types that not well suited for modelling in Alfa, what are other suggested modeling systems? Thank you.