Asset Liability Management (ALM) em RPS: uma análise do Instituto de Previdência dos Servidores Municipais de Cabedelo - PB (IPSEMC)

Abstract

The concern in identifying the risks of mismatches between actuarial liabilities and assets with a focus on healthy flow of payments is typical of the pension fund of social security, specifically in defined benefit plans. In this regard, risk management becomes an important tool in the process, in order to avoid the risk of mismatch between assets and liabilities and thus maintain the financial and actuarial balance. The choice of management methods in Asset Liability Management - ALM is treated as a business management practice, crucial and relevant, so that the assets and liabilities may have a good financial management. To this end, work simulated the implementation of the ALM model in municipy of Cabedelo City's RPPS, so that it can make a significant contribution in mitigating the risk of actuarial deficit in the state of Paraiba, sought to meet the challenge of finding what the best asset allocation, as the evolution of the actuarial liabilities over time, in order seek financial-actuarial balance actively hitting the return criteria (return on assets), liquidity (Duration) and immunization (portfolio risk). The main notes reveal that a previous study of macro-allocation will give the manager the profile of the investment policy the fund will adopt for the coming years taking as proxy which the actuarial liability takes a goal, so there will be the possibility of immunizing the risks inherent in their obligations by using the ALM method defined by the investment policy.