Liability modelling

The system models 1000 plausible future scenarios for the individual liabilities of every member in the scheme, time-stepped at annual intervals. The rich picture of the scheme’s potential future liabilities generated by the system provides a robust model upon which to explore the performance of different investment portfolios against the scheme’s funding objectives.

Mantle simplifies the portfolio testing process from over 800 trillion possible strategies to a manageable set of optimised strategies that aim to maximise the opportunity to successfully meet the scheme’s funding objectives.The risk management analysis contextualises the results of all the tested strategies and enables the individual strategies to be easily reviewed in relation to each other.

The 1 year 5% Value at Risk is calculated instantly, quantifying the potential short-term downside risk for each strategy. Detailed summaries of the success and failure events across all 1000 scenarios can be used to determine when success and failure would be likely to occur and the extent to which each outcome could exceed the success and failure conditions that have been specified. Furthermore, the performance of each individual scenario can be used to gain an understanding of how future events could influence the ability of the strategy to meet the scheme’s objective funding criteria.

The performance of the optimised strategies can be easily assessed against different objective criteria to determine if there are actions within the client’s control that can help to improve the potential outcome of the scheme’s investment strategy. Find out more about the benefits that Mantle’s features provide here, or contact us for more details.