기관 IPS

목차

I. Reading 14 Managing Institutional Investor Portfolios
1. Introduction
2. Pension Funds
2.1. Defined-Benefit Plans: Background and Investment Setting
2.2. Defined-Contributions Plans: Background and Investment Setting
3. Foundations and Endowments
3.1. Foundations: Background and Investment Setting
3.2. Endowments: Background and Investment Setting
4. The Insurance industries
4.1. Life Insurance Companies: Backgrounds and Investment Setting
4.2. Non-life insurance companies
5. Banks
5.1. Banks: Background and Investment Settings
5.2. Other Institutional Investors

II. Reading 15 Linking Pension Liabilities to Assets

본문내용

Risk objectives 결정시 영향을 미치는 요소들(The greater risk tolerance) ★★
① Plan funded status(Surplus or deficit)
For internal use only
⇒ The higher surplus(=overfunded plan)
(질문) Justify해라
(정답) The plan can experience some level of negative returns without jeopardizing the coverage of plan
liabilities.
e.g. actual return(=10%) > Long-term return objective(9%)
(질문) 이런 상황인데 왜 plan surplus가 감소하는 경우가 발생하지?
(정답) The decline in a discount rate of the plan liabilities(12%)
→ PV of liabilities rises faster than the MV of the plan assets

② Sponsor financial status and profitability
⇒ The lower debt to asset ratio and higher current and expected profitability
(질문) Justify해라
(정답) A financially strong sponsor has ability to fund potential shortfalls than a financially weak sponsor.

③ Sponsor and pension fund common risk exposure★
⇒The lower the correlation between sponsor operating results and pension asset returns
[High correlation의 경우] Prac2
회사가 속한 sector를 보고, Pension plan의 asset allocation이 동일한 sector에 있는지 확인해라
(질문) Justify해라
(정답) the pension plan beneficiaries 관점

참고 자료

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