Este artículo se centrará en la investigación para la asignación estratégica del fondo de reserva del plan de pensiones marroquí para garantizar y mejorar su solvencia. El primer objetivo de este documento es construir y probar un generador de escenarios económicos (ESG) basado en un modelo inspirado en el enfoque Ahlgrim (2005) y adaptado a las especificidades de la gestión de activos y pasivos (ALM) y la inversión basada en pasivos (LDI) En nuestro estudio, también desarrollaremos la técnica ALM basada en la maximización de la reserva bajo el criterio de maximización de coeficiente de solvencia (ya que el fondo está en déficit). Para hacer esto, consideramos un enfoque de asignación estratégica de activos reciente basado en el "peso constante "estrategia, o Fixed-Mix, Kouwenberg (2001). De hecho, implementaremos las estrategias LDI basadas en el modelo de Sharpe y Tint (1990). Para eso, primero intentaremos encontrar las ponderaciones deseadas de las clases de activos solo en un contexto de activos. Luego, tratamos de construir una cartera de cobertura (LHP) y una cartera de investigación de rendimiento (PSP).
This present paper proposes to study the limits of mathematical models and their assumptions through the subprime crisis initiated at the summer 2007. Indeed, the mathematical modeling is one of the causes that have contributed to the bursting and the propagation of this financial collapse at the planetary level. However, the valorization of complex products such as (CDO and CDS) was supported by the use of the function of the 'Gaussian Copula' combined with the adoption of restrictive and erroneous assumptions. More precisely, this article aims to provide answers to the following interrogations: Which are the risks related to stochastic models, and which are the tools to evaluate and control them as well as the axes of reflection to solve this crisis of modeling?
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