잉여금 최적화 전략에 따른 퇴직연기금의 자산배분
Pension Fund Asset Allocation via Surplus OptimizationStrategy
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초록
확정급여형 퇴직연금의 감독 및 회계제도가 적립률(=자산/부채) 중심으로 옮겨감에 따라 자산배분 측면에서도 자산수익률보다는 잉여금(=자산-부채)수익률의 중요성이 높아지고 있다. 본 연구에서는 퇴직연금의 자산만 고려할 경우와 자산과 부채를 동시에 고려한 잉여금 관점에서의 자산배분이 달라질 수 있음을 예시적으로 보이고자 하였다. 우리나라의 1999～2006년 동안 자산 군에 대한 수익률을 사용하여 최적화 모형으로 분석한 결과, 자산만 고려한 경우와 자산과 부채를 동시에 고려한 경우의 최적자산배분이 달리 나타났다. 이러한 결과는 부채구조를 감안하여 자산을 배분할 경우 잉여금리스크를 감소시키는 데 도움이 되는 자산, 즉 퇴직연금 부채의 변동과 높은 상관관계를 갖는 자산을 선택하기 때문이다. 따라서 퇴직연금의 잉여금 최적화 전략을 위해서는 잉여금 변동에 영향을 미치는 퇴직연금 부채의 특성에 대한 파악이 필요하며 부채의 변동성 및 자산과 부채의 상관관계 측면을 고려하여 자산을 선택하는 것이 바람직하다.
Abstract
This paper examines the optimization of asset allocation strategy and asset-liability issues in the defined benefit pension funds. Optimization analysis results using Korean data - domestic fixed income, domestic equity, domestic real estate and foreign equity - for the period 1999~2006 indicate that asset allocation by surplus (asset-liability) model is different from that by asset-only (traditional mean-variance) model. The optimal asset allocation by surplus model has more domestic real estate positive correlated with pension liability whereas asset-only model has more equity negative correlated with pension liability. These different asset allocation is due to the linking pension liabilities to assets. For a surplus risk management of pension fund asset classes of pension fund will be selected on the basis of their match with liabilities in terms of correlation and volatility, rather than on the basis of expected return.
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