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历年真题November2004Course8E（Part 4）——北美精算师考试soa

来源：高顿网校 2014-07-18

　　全国和全球所有的北美精算师考友们，大家请把目光转移至高顿网校哦。下面是历年真题November2004Course8E（Part 4）——北美精算师考试soa。
　　9.Continued

　　(c)(4points)DescribewaystohedgetheliabilitiesoftheVAandthepractical

　　considerationsassociatedwitheach.

　　(d)(2points)ExplainthefactorsGALshouldconsiderindecidingwhethertohedge

　　itsVAliabilities.

　　(e)(3points)TheChiefActuaryhascalledameetingtodiscussfirstyear

　　performanceoftheVAproduct.Yoususpectshewantstodiscontinuefuture

　　sales.

　　Outlinearesponsewhich:

　　?supportscontinuedsalesand

　　?addressesanyproductshortcomings.

　　COURSE8:Fall2004-12-GOONTONEXTPAGE

　　EnterpriseRiskManagementSegment

　　AfternoonSession

　　Question10pertainstotheCaseStudy.

　　10.(10points)AsthenewCFOofZoolander,youhavebeenaskedtodeterminewhether

　　thenewEnhancedSavingsAnnuity(ESA)productshouldbelaunchedasscheduled.

　　Youhavemetwiththeproductteamandotherexecutivesinvolvedwiththeproductand

　　havereceivedthefollowingadditionalinformation:

　　?Theproductwillbesoldtomiddle-incomeindividuals.

　　?Theproductinvolvesacomplexinvestmentandtaxstrategy.

　　?Theinvestmentstrategyistotargethighreturnswithmostoftheriskbeingborne

　　bytheindividual.

　　?TheearningsmodelusedbytheproductdevelopmentteamindicatesahighROE

　　basedonthemarketingarea’sprojectedsalesvolume.

　　?Pricingwasbasedonestimatedexpensesusingthesameprojectedsalesvolume

　　usedintheearningsmodel.

　　?Theproductisexpectedtogenerateahighdailyvolumeoftransactions,which

　　willbeadministeredusingthenewTriplePsystem.

　　?Marketingmaterialshavebeendevelopedandordered.

　　?Regulationsrequiredetailedquarterlystatementstobesenttoeachparticipant.

　　?Duetothecomplexityoftheproducttherearestrictdisclosurerequirementsto

　　prospectiveclientsandthecompanymustattestannuallythatthesalesforcehas

　　beenproperlytrained.

　　?Thetaxauthorityhasnotissuedclarificationregardingthetaximplicationsofthis

　　productbutisexpectedtodosoinseveralmonths.

　　Basedonthisinformation:

　　(a)(4points)IdentifyareasofconcernwiththeESAproductdevelopmentprocessto

　　date,andproposeERMbestpracticestoaddresstheseareasofconcern.

　　(b)(4points)DeterminetheoperationalriskexposurestoZoolanderassociatedwith

　　launchingtheESA,andcategorizeaspeople,process,ortechnology.

　　(c)(2points)Describethecomponentsofanoperationalriskassessmentreportthat

　　canbeusedtoevaluatetherisksassociatedwiththisproduct.

　　COURSE8:Fall2004-13-GOONTONEXTPAGE

　　EnterpriseRiskManagementSegment

　　AfternoonSession

　　11.(5points)Themulti-line,multi-nationalinsurancecompany,TitanicLife,recently

　　establishedaRiskManagementCommittee(RMC)upontherecommendationofits

　　internalauditingteam.TheCEOofTitanicischairingtheRMC.Followingthefirsttwo

　　monthlymeetings,heconcludedthatthemeetingagendasandtheRMCitselfwerenot

　　veryfruitful,sincethemajorriskswerehandledwellbyeachrespectiveoperationalunit.

　　AsthenewlyhiredCROofTitanic,youhavebeenaskedtojustifythecontinuationofthe

　　RMC.

　　(a)Explainthebenefitsofacentralizedriskmanagementfunctionandtheelements

　　requiredforitssuccessfulimplementation.

　　(b)IdentifythetypesofriskthatapplytoTitanicLifeasamulti-line,multi-national

　　insurancecompanywhichwouldwarrantacentralizedriskmanagementfunction.

　　12.(5points)YouareaconsultanttoZambro,Inc.,aBBB-ratedoilandgascompany.The

　　companyisrunbyagroupofseniormanagerswhoparticipateinanincentive

　　compensationprogramthathasgrantedthemasignificantamountofstockoptions.

　　Zambrobelievesithasvaluableinformationregardingfutureoilpricesandisconsidering

　　eitheraselectivehedgingstrategybasedonthisinformationorafull-coverhedging

　　strategy.Asanexpertinriskmanagementyouhavebeenaskedtoprepareareportfor

　　seniormanagementonhedgingasariskmanagementtool.

　　(a)Explainthemajorcostsassociatedwithhighervariabilityofcorporateearnings

　　andcashflowanddescribehowriskmanagementcanreduceeachofthesecosts.

　　(b)ExplainhowZambro’screditratingandcompensationprogramcouldeach

　　influencethecompany’schoiceofahedgingstrategy.

　　COURSE8:Fall2004-14-GOONTONEXTPAGE

　　EnterpriseRiskManagementSegment

　　AfternoonSession

　　13.(15points)ExponentialLifehasrecentlysufferedexcessivecreditlossesinitscorporate

　　bondholdings.ExponentialLifehasdecidedthatitssystemofsettingcreditexposure

　　limitsisinadequateandhasassignedyoutoexploreothertoolswithwhichtobetter

　　manageitscreditriskposition.

　　Youhaveextractedthefollowingdatafromcommercialcreditriskmodels:

　　Year

　　(t)

　　Risk-free

　　ZeroRate

　　1-YearForwardCreditSpreads,

　　tYearsForward(FSt)

　　Cumulativerisk-neutral

　　EDFs()Qt

　　13.00%0.90%2.00%

　　23.00%1.26%4.00%

　　(a)UsingtheKMVapproach,determinethecreditspreadofa2-yearcorporatebond

　　withafacevalueof$100thatpaysannualcouponsof5%,assuminga40%

　　recoveryrate.Showyourwork.

　　(b)UsingtheReduced-Formapproach,determinethecreditspreadofa2-year

　　corporatebondwithafacevalueof$100thatpaysannualcouponsof5%,

　　assuminga40%recoveryrate.Showyourwork.

　　(c)ContrasttheunderlyingtheoryandkeyattributesoftheKMVapproachandthe

　　Reduced-Formapproachtocreditriskmeasurement.

　　COURSE8:Fall2004-15-STOP

　　EnterpriseRiskManagementSegment

　　AfternoonSession

　　14.(5points)Yourcompany,theInternationalFinancialConsultingGroup,hasbeen

　　retainedbyTyphoonBank,alargebankinadevelopingAsiancountry.TyphoonBank

　　isveryconcernedaboutitsincreasedexposuretomarketrisk.Furthermore,thecountry’s

　　CentralBankhasrecentlyannouncedplanstointroducetheBasleCommitteeAccordas

　　itsnewregulatoryframework.

　　YouhavebeenassignedtoproduceareportforTyphoonBankthataddressesthe

　　followingissues:

　　(a)RecommendtheformandcontentofamarketriskpolicyforTyphoonBank.

　　(b)Describethecomponentsofanadequatesystemofinternalcontrolswithrespect

　　tointerestrateriskthatwillbeexpectedofTyphoonBankunderaBasle

　　managementframework.

　　**ENDOFEXAMINATION**

　　AFTERNOONSESSION
　　高顿网校之名人名言：推动你的事业，不要让你的事业推动你。——爱因斯坦

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