| The Study of Investment Target with ALM Scheme in National Pension Fund |
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Chong Hyun Won |
| 공적연금기금의 장기 자산배분 목표 설정 |
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원종현 |
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| Abstract |
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In the social insurance-like public pension, fund accumulation and asset investment strategies are complementary to each other like both wings of a bird. Because of this complementary nature, Asset Liability Management (ALM) model is becoming more important and has emerged as the core of fund operation. This is because ALM forms and supports an explicit link between the pension system and fund operation. This is a vital function in public pension. As a means to secure continuation of the social insurance-like public pension, ALM enables an organic relationship among fund operation, premium rate, and benefit rate. Through this, the pension fund facilitates the effective management of conflicting issues between fund operation and pension liability that will later be paid to potential pension policy holders. A simple goal like "the highest returns with appropriate risks," often written down on regulations of pension fund operating institutions is not enough. If the ALM model is to be chosen as a fund operation model, the clear goal of fund operator or fund depositor must be indicated. These goals could be about the funding ratio, risk aversion tendency, or apportionment between pension system and funds. When a fund operation goal of institutional standard is established in any form beforehand, it will be possible to come up with a distribution strategy by asset-type. This means that when an operation goal is given, based on this, return rates and risk levels at strategic levels may be set up according to the ALM model. And from here on, a standard for asset distribution of strategic and tactical level will be created This study aims to measure the asset and liability level of the social insurance-like public pension, and explore the correlation between liability and asset from a long term perspective. This study also produced a long term return rate for funds that aim to stabilize the correlation between the two. To achieve this goal, this study will deduce an appropriate asset distribution plan and explore the relationship between pension fund operation and system operation. |
| Key Words:
기금목표,기금적립율,연금부채,자산배분,ALM,Asset Allocation,Funding Ratio,Investment Target,Pension ALM,Pension Liability |
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