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  #1  
Old 10-03-2017, 04:42 PM
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Hydraskull Hydraskull is offline
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Default ALM - Asset Modeling Solutions

Curious what other actuaries are using for the asset modeling side of ALM (or Cash Flow Testing).

Actuarial modeling softwares like MG-ALFA allow you to import your inventory of assets, specify some asset assumptions like capital charges and defaults and recoveries, and project out your assets and liabilities.

But your Investments folks might look at this package and say it's too simplistic a view, and pales in comparison to their advanced analytics software packages like Aladdin.

But then, Aladdin doesn't seem to be able to produce asset cash flows for a set of stochastic scenarios (at least based on what my Investments guys have told me), so I can't use that for my ALFA assets.

Does anyone have trouble getting Investments' buy-in on ALM results, because they aren't comfortable with the idea of actuaries modeling assets?
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Old 10-03-2017, 05:51 PM
Steve Grondin Steve Grondin is offline
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No, not really.

We (both the CFT team and the Asset team) use BondEdge for structureds. we use Polysystems for the simpler assets (bonds/mortgages). The CFA on our team has satisfied himself it works fine.
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Old 10-03-2017, 06:23 PM
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For interest sensitive products, we run some general scenarios similar to what they will produce for the assets with the assets we use for CFT. Those are then combined with the appropriate asset projections done by the Investments team for the different scenarios. It isn't perfect but it works well enough.
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Old 10-04-2017, 01:43 AM
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We end up with the same view as ALM.
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Old 10-04-2017, 11:04 AM
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Quote:
Originally Posted by Hydraskull View Post
Does anyone have trouble getting Investments' buy-in on ALM results, because they aren't comfortable with the idea of actuaries modeling assets?
This is a fundamental problem in a lot of insurance companies. I think the solution has MUCH more to do with how the actuaries interact and respect the investments staff than it does the modeling platform. It's really more about how the results are communicated.

The investment staffs' receptiveness to actuarial information deteriorates rapidly the more an actuary tries to explain to investments how to do their job. Just saying what I've seen.
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Old 10-07-2017, 08:53 PM
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Thanks everyone, for your insights.
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Old 10-07-2017, 09:17 PM
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Why not use an ESG to project your asset returns?
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Old 10-09-2017, 10:17 AM
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Why not use an ESG to project your asset returns?
I do use an ESG to project economic factors.

An ESG alone can't produce a projected income statement.
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