高顿项目

国内财会

国际财会

金融证书

公务员

考研

考研

继续教育

继续教育

在职硕博

学历学位

国企求职

军队文职

军队文职

职业提升

语言培训

出国留学

海外留学

SOA精算师考试之SOA历年真题November2001Course8V（1）

来源：高顿网校 2014-07-21

　　高顿网校小编们每个工作日都坚持更新*7的北美精算师大纲资料，下面就是SOA精算师考试之SOA历年真题November2001Course8V（1）。
　　COURSE 8: Investment - 1 - GO ON TO NEXT PAGE

　　November 2000

　　Morning Session

　　November 2000

　　Course 8V

　　Society of Actuaries

　　COURSE 8: Investment - 2 - GO ON TO NEXT PAGE

　　November 2000

　　Morning Session

　　** BEGINNING OF EXAMINATION **

　　MORNING SESSION

　　Questions 1 – 3 pertain to the Case Study.

　　Each question should be answered independently.

　　1. (10 points) The Board of Directors of LifeCo was recently given a presentation on the

　　paper by Robert van der Meer and Meye Smink, Strategies and Techniques for Asset-

　　Liability Management: An Overview. As the newly appointed Chief Risk Officer for

　　LifeCo, the Board has asked you to give a presentation.

　　(a) Categorize and describe the ALM strategies and techniques employed by LifeCo

　　within the framework provided by van der Meer and Smink.

　　(b) Assess the relative merits or return-driven versus value-driven strategies for

　　LifeCo.

　　(c) Formulate an ALM strategy for LifeCo (from the framework provided by

　　van der Meer and Smink) that reduces the total company exposure to interest rate

　　risk and provides an opportunity to increase company surplus.

　　(d) Evaluate your proposed strategy using the criteria set out in the paper by

　　van der Meer and Smink.

　　COURSE 8: Investment - 3 - GO ON TO NEXT PAGE

　　November 2000

　　Morning Session

　　Questions 1 – 3 pertain to the Case Study.

　　Each question should be answered independently.

　　2. (9 points) LifeCo management wants to segment the Group line of business for

　　asset/liability management purposes into:

　　(i) Long Term Disability (LTD), and

　　(ii) Other A&H.

　　The newly allocated balance sheet for LTD is shown below:

　　Present Value Modified Duration Adjusted Duration

　　Assets 550.9 13.5 11.00

　　Liabilities 532.0 8.1 5.37

　　Economic Value 18.9 169.47

　　The Relative Volatility of assets for Other A&H is the same as for LTD. The Relative

　　Volatility of liabilities for Other A&H is 1.

　　(a) Construct the new Other A&H allocated balance sheet.

　　(b) Assess the limitations of only using the above measures in managing interest rate

　　risk.

　　(c) Contrast the use of Adjusted Duration with the measures used by LifeCo to

　　manage its exposure to interest rate risk.

　　(d) The portfolio manager for the Group line of business argues that Franchise Value

　　should be considered in the liability target duration calculation. Define Franchise

　　Value.

　　(e) Explain the implications of using Franchise Value for determining target

　　durations.

　　COURSE 8: Investment - 4 - GO ON TO NEXT PAGE

　　November 2000

　　Morning Session

　　Questions 1 – 3 pertain to the Case Study.

　　Each question should be answered independently.

　　3. (22 points) LifeCo wants to establish a delta/gamma/vega/rho hedge on the equity

　　exposure of their variable annuity business, using positions in some or all of the

　　following assets.

　　Asset Price Delta Gamma Vega Rho

　　S&P 500 Future 0 100 0 0 0

　　30-year Treasury

　　bond future

　　0 0 0 0 -12,598

　　1-year Put 51.98 -0.34608 0.00184 3.688 -3.98

　　1-year Call 109.45 0.65392 0.00184 3.688 5.45

　　10-year Put 42.88 -0.10529 0.00029 5.761 -14.82

　　10-year Call 489.57 0.89472 0.00029 5.761 40.51

　　LifeCo’s liabilities have the following sensitivities:

　　Delta – 2,659.90

　　Gamma 1.036

　　Vega 1952

　　Rho – 101,910,000

　　All deltas and gammas are per unit change in the S&P 500 index.

　　Vegas are per 1% change in volatility

　　Rhos are per 1% change in interest rates

　　Current value of the S&P 500 is 1300

　　(a) (6 points) Construct a hedge position using the above assets that minimizes the

　　cost of the hedge without regard to the operational guidelines.

　　(b) (1 point)

　　(i) Assess whether the hedge determined in part (a) would be in violation of the

　　operational guidelines for use of derivatives.

　　(ii) Recommend any necessary changes to the guidelines.

　　COURSE 8: Investment - 5 - GO ON TO NEXT PAGE

　　November 2000

　　Morning Session
　　高顿网校之名言警句：富裕带来荣誉，富裕创造友谊，穷人到哪儿都是下人。 —— 奥维德

版权声明：本条内容自发布之日起，有效期为一个月。凡本网站注明“来源高顿教育”或“来源高顿网校”或“来源高顿”的所有作品，均为本网站合法拥有版权的作品，未经本网站授权，任何媒体、网站、个人不得转载、链接、转帖或以其他方式使用。经本网站合法授权的，应在授权范围内使用，且使用时必须注明“来源高顿教育”或“来源高顿网校”或“来源高顿”，并不得对作品中出现的“高顿”字样进行删减、替换等。违反上述声明者，本网站将依法追究其法律责任。本网站的部分资料转载自互联网，均尽力标明作者和出处。本网站转载的目的在于传递更多信息，并不意味着赞同其观点或证实其描述，本网站不对其真实性负责。如您认为本网站刊载作品涉及版权等问题，请与本网站联系(邮箱fawu@gaodun.com，电话：021-31587497)，本网站核实确认后会尽快予以处理。

展开全文咨询在线

严选名师全流程服务

其他人还搜了热门推荐