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历年真题November2003Course8F（最后一部分）——SOA精算师考试

来源：高顿网校 2014-07-18

　　下面高顿网校小编展示的则是历年真题November2003Course8F（最后一部分）——SOA精算师考试，请大家慢慢累积所有知识点。
　　13. Continued

　　(a) (3 points) Demonstrate whether Butterscotch’s shareholders or Caramel’s

　　shareholders will benefit more from the purchase of Nougat. Show your work.

　　(b) (3 points) Adjust the second assumption to assume a corporate tax rate of 25%.

　　Under this assumption demonstrate whether Butterscotch’s shareholders or

　　Caramel’s shareholders will benefit more from the purchase of Nougat. Show

　　your work.

　　(c) (3 points) Explain the reasoning behind the results of (a) and (b).

　　(d) (4 points) Fudge has just finished a promotional agreement with a songwriter.

　　They believe that it will increase their market share with young consumers. This

　　has not yet been announced to the public.

　　Determine how Fudge should fund the acquisition under:

　　(i) The pecking order hypothesis

　　(ii) The signaling theory

　　(e) (2 points) Describe the issues that Fudge might face if it tries to issue only long

　　term debt to fund the acquisition of Nougat.

　　(f) (2 points) Describe the empirical evidence that could explain Caramel’s and

　　Fudge’s current capital structures.

　　COURSE 8: Fall 2003 - 14 - GO ON TO NEXT PAGE

　　Finance

　　Afternoon Session

　　14. (9 points) You have been asked to evaluate the performance of the managing directors of

　　your bank’s three trading units. You are given the following data from the trading

　　operations:

　　Target RAROC = 30%

　　Fixed Income

　　Trading (FI)

　　Equity Trading

　　(EQ)

　　Money Market

　　Trading (MM)

　　Trading Earnings 100 70 30

　　Utilized CaR 300 250 100

　　Allocated CaR 500 300 100

　　Correlation Matrix Between Trading Unit Returns:

　　FI EQ MM

　　FI 1.0 -0.2 0.3

　　EQ -0.2 1.0 -0.1

　　MM 0.3 -0.1 1.0

　　(a) (2 points) Assess the risk-adjusted performance of the bank and each trading unit

　　assuming perfect correlation among the units. Show your work.

　　(b) (5 points) Assess the risk-adjusted performance of the bank and each trading unit

　　incorporating imperfect correlation effects. Use an appropriate method to allocate

　　diversification benefits. Show your work.

　　(c) (2 points) Evaluate which risk-adjusted measure is best for this purpose.

　　COURSE 8: Fall 2003 15 STOP

　　FINANCE

　　Afternoon Session

　　15. (3 points) The CEO of a small public company has asked you to sit on his board. At the

　　first meeting you learn that the company offers a “savings plan” to its employees.

　　Employees contribute after-tax money to this “savings plan”.

　　Individual employee account balances are tracked, but all money in the fund is credited

　　with the same interest rate. The rate credited to the plan is the return on the assets, less

　　the actual expenses incurred. Each January 15 the company declares the credited rate for

　　the prior year. Employees who terminate receive a lump sum equal to their full account

　　balance within 30 days of termination. For those employees, interest is applied at the

　　prior year’s crediting rate from January 1 to the termination date.

　　You point out that the plan is taking interest rate risk, and, since the plan is not a separate

　　entity, the company is assuming the risk. You suggest hedging this risk.

　　The CEO replies, “Hedging is too expensive! I want to make sure the employees get the

　　highest return possible, and the costs would eat into their returns. Besides, any public

　　company that spends its money to hedge anything is stealing from its shareholders.

　　Business is about risk!”

　　(a) Using the principles of qualitative asset transformation, explain why the savings

　　plan is a financial intermediary.

　　(b) From the shareholders’ point of view, describe the factors the company should

　　consider in evaluating whether or not to hedge.

　　**END OF EXAMINATION**

　　AFTERNOON SESSION
　　高顿网校之名人哲学：书籍使我变成了一个幸福的人，使我的生活变成轻快而舒适的诗，好像新生活的钟声在我的生活鸣响了。 —— 高尔基

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