ABSTRACT

Governance is a system composed of a great number of interdepen-dent entities, with di erent degrees of relationships between many actors. e governance of a socioeconomic and political environment under a pension fund’s perspective is considered as a complex system in which the interactions among the actors in uence the governance and the governance in uence their interactions, in a recursive way. In order to be risk oriented and to cope with the peculiarities of complex systems, asset and liability management (ALM) models of pension funds problems incorporate, among others, stochasticity, liquidity control, populational dynamics, and decision delays to better forecast and foresee solvency in the long term. Once ALM was established as a factor-based model, a research consisting of 25 Brazilian pension funds chosen from among 313 that together had almost 70% of total segment assets of such entities was made so as to identify risk factors and to represent their cause-and-e ect relationships. en, to model uncertainties or to enable multi-criteria analysis, methods such as analysis of prospective and retrospective scenarios, system dynamics, agent-based modelling, Bayesian analysis, Markov chains, and measuring attractiviness by a categorical-based evaluation technique (Macbeth) were presented and discussed. In conclusion, this chapter evidences the power of a multi-paradigm model to study complex environments and o ers a way to manage a dynamic ALM problem.