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eee · 2019年01月22日

请解释下什么是liability glide path?

Liability Glide Paths

If GPLE were underfunded, it might consider establishing a liability glide path. A liability glide path is a technique in which the plan sponsor specifies in advance the desired proportion of liability-hedging assets and return-seeking assets and the duration of the liability hedge as funded status changes and contributions are made. The technique is particularly relevant to underfunded pensions. The idea reflects the fact that the optimal asset allocation in general is sensitive to changes in the funded status of the plan. The objective is to increase the funded status by reducing surplus risk over time. Although a higher contribution rate may be necessary to align assets with liabilities, the volatility of contributions should decrease, providing more certainty for cash flow planning purposes and decreasing risk to plan participants. Eventually, GPLE would hope to achieve and maintain a sufficiently high funded ratio so that there would be minimal risk of requiring additional contributions or transferring pension risk to an annuity provider

(Institute 204)

Institute, CFA. 2019 CFA Program Curriculum Level III Volume 3. CFA Institute, 5/2018. VitalBook file.

所提供的引文是一个指南。请在使用之前查看每个引文以确保准确性。



教材原文如上,我没有看懂,可否简单解释下?

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Shimin_CPA税法主讲、CFA教研 · 2019年01月23日

这个点可以与后面一个reading中的hedging/return-seeking dynamic version结合起来理解。Liability glide paths指的是,如果funded status改变,那么分配在hedging portfolio和return-seeking portfolio的占比会改变,是一种动态的ALM方法 。如果养老金underfunded,那么最初的目的是尽快填补缺口,一方面可以增加sponsor公司的contribution,另一方面可以投资激进,提高return-seeking portfolio的占比高。等到养老金接近fully funded或者overfunded, 投资可以偏保守,分配在hedging portfolio的占比提升。

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