Teaching
Pension Fund Portfolio and Risk Management
Intermediate and Advanced tracks
Two complementary 30-hour courses on portfolio and risk management for Brazilian pension entities, benchmarked against IORP II, ERISA, and OECD frameworks. The Intermediate track covers the Brazilian system, governance, investment policy, and asset-liability fundamentals. The Advanced track goes further, working through stochastic ALM, economic scenario generators, mortality modeling, LDI, lifecycle design, and comparative regulation, with a full Python/R technical stack throughout.
Topics
- The Brazilian pension system: EFPC/EAPC, PREVIC, CMN Resolution 4.994
- Plan types, investment policy statements, and fiduciary governance
- Risk measurement, strategic asset allocation, and conceptual ALM
- LDI and cash-flow matching with NTN-B
- Stochastic ALM and surplus optimization (Advanced)
- Economic scenario generators and stochastic mortality (Advanced)
- Lifecycle investing, glide paths, risk parity, and alternatives (Advanced)
- Comparative regulation, stress testing, and capstone (Advanced)
Audience
Managers of Brazilian pension entities, actuaries, consultants, regulators, and graduate students in finance.
Materials
Detailed module-by-module program with readings and activities for all 20 modules (design stage).
Brazilian regulation and practice (CMN Resolution 4.994, PREVIC, SUSEP) are treated alongside systematic international benchmarking against IORP II, ERISA, IOPS, and OECD frameworks, so participants can defend their choices in both local and global terms.