Impact of the ESG–ALM Model on the Optimization of Patrimonial Solvency: An Empirical Analysis of a Pension Fund

Abstract

The financial sustainability of public pension funds in emerging economies constitutes a critical challenge, exacerbated by macroeconomic volatility and structural asset-liability mismatches. This study evaluates the patrimonial solvency of Honduras' National Teachers' Pension Institute (INPREMA) by applying an integrated Economic-Financial Scenario Generator (ESG) and Asset-Liability Management (ALM) model. The methodology combined stochastic projections of macroeconomic variables with an ALM model to analyze the interaction between the investment portfolio and actuarial obligations under uncertainty. The results reveal a structural gap between the portfolio's expected return and the actuarial technical rate of 14.7%, increasing solvency vulnerability to adverse shocks. It is concluded that adopting an ESG-ALM framework provides a solid technical basis for reorienting investment policy, mitigating reputational risk, and strengthening patrimonial solvency in compliance with the Honduran regulatory framework. The study contributes an original quantitative assessment for public pension funds in contexts of high regulatory constraint and volatility.