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SOA真题北美精算师：November2004CourseV（第三部分）

来源：高顿网校 2014-07-22

　　请认真看并仔细记住SOA真题北美精算师：November2004CourseV（第三部分），其中的纲要都是特别重要的。
　　7. (9 points) The graph below shows the distribution of the daily returns of a particular

　　equity portfolio in one year with a total of 254 trading days. For example, there were 65

　　days with daily return between 0.00% and 0.50%. The average daily return is 0.04% and

　　the standard deviation of the daily return is 1.07%. The current value of the portfolio is

　　$10 million.

　　(a) Explain the objective of a Value at Risk (VaR) calculation

　　(b) Calculate:

　　(i) The one day VaR at a 95% confidence level using the above histogram.

　　(ii) The 10 day VaR at a 95% confidence level assuming a normal

　　distribution.

　　(c) Evaluate the advantages and disadvantages of these methods of calculation and

　　the Monte Carlo Simulation approach.

　　(d) Describe how to test the accuracy of the alternative models.

　　(e) List the limitations of VaR as a measure of risk, and explain how the Conditional

　　Tail Expectation approach and stress testing might complement VaR as a risk

　　measure.

　　(f) Calculate the 95% Conditional Tail Expectation based upon the distribution in the

　　graph above using interval midpoints as estimates of average values.

　　COURSE 8: Fall 2004 -8- STOP

　　Investment

　　Morning Session

　　8. (4 points) Acme Motors offers the following investment options to the participants in its

　　Defined Contribution plan:

　　1. A U.S. equity fund

　　2. An international equity fund

　　3. A fixed income fund

　　You are considering adding a Stable Value Fund option.

　　(a) Explain why a Stable Value Fund would be offered as an option.

　　(b) List the risks to Acme Motors and its participants associated with the Stable

　　Value Fund option.

　　(c) List the risks to the issuer of the underlying GIC or BIC contracts that support

　　Acme Motor’s DC plan’s stable value fund.

　　(d) Propose ways the issuer can manage these risks.

　　**END OF EXAMINATION**

　　MORNING SESSION

　　COURSE 8: Fall 2004 -9- GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　**BEGINNING OF EXAMINATION**

　　INVESTMENT

　　AFTERNOON SESSION

　　Beginning With Question 9

　　9. (3 points) You are given a 5-year, BB rated zero-coupon bond with par value of 100.

　　You are given the following information

　　The 1-year transition matrix is:

　　Rating Initial at Year end (%)

　　Rating AA A BB B C Default

　　AA 95 3 2 0 0 0

　　A 2.5 93.5 2.5 1.5 0 0

　　BB 1 2 95.75 0.75 0.5 0

　　B 0 2 5 85 7 1

　　C 0 0 3 7 85 5

　　The 1-year forward zero-coupon curve is:

　　Category 1-Year 2-Year 3-Year 4-Year

　　AA 3.5 4.1 4.7 5.0

　　A 3.7 4.3 4.9 5.3

　　BB 4.0 4.7 5.3 5.7

　　B 5.6 6.0 6.8 7.4

　　C 10.0 12.0 11.0 9.0

　　Using the CreditMetrics approach:

　　(a) Calculate the possible 1 year forward values of the bond.

　　(b) Calculate the credit VaR at the 99% confidence level.

　　(c) Calculate the capital charge using the value obtained in (b).

　　COURSE 8: Fall 2004 -10- GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　10. (3 points) DM Life is considering hedging its credit risk with Credit Default Swaps

　　(CDS).

　　(a) Explain FAS 133’s rules for qualifying for hedge accounting.

　　(b) Formulate a hedge strategy that would qualify for hedge accounting under FAS

　　133.

　　COURSE 8: Fall 2004 -11- GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　11. (3 points) An associate at your firm follows a select group of options. From time to time

　　he feels he can develop information and views in terms of expected return and risk that

　　are not reflected in current market prices.

　　(a) Explain why observed option prices might differ from those predicted by the

　　Black-Scholes model.

　　(b) Explain whether a Black-Scholes option model would be useful in evaluating a

　　specific option investment strategy.

　　COURSE 8: Fall 2004 -12- GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session
　　高顿网校之考试箴言：“我很幸运有爱我的母亲” ——贝多芬

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