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北美精算师考试SOA真题甄选——Course8E（二）

来源：高顿网校 2014-07-31

　　北美精算师考试SOA真题甄选——Course8E（二），请速速看完。大家别轻易放弃北美精算师考试哦，时间很紧了，今年10月的考试近在当下哦！
　　forms of liquidity risk faced by insurance companies and

　　the importance of maintaining adequate liquidity.

　　(b) (1 point) Comment on Zoolander’s current liquidity position.

　　asks you to build a model to quantify the potential exposure over the next year

　　due to credit risk. Lyon wants an expectation as well as a “worst case scenario”

　　based on a confidence interval of 99%.

　　You have recently become familiar with the CreditMetrics approach to modeling

　　credit risk. Outline a plan to develop a model for Zoolander, including the major

　　calculations and assumptions needed.

　　(d) (3 points) Lyon wants to consider securitization as a means of reducing credit and

　　liquidity risks and as a management tool.

　　Explain the advantages to Zoolander of securitizing:

　　i. Private Placement Bonds

　　ii. A Closed Block of Insurance Liabilities

　　COURSE 8: Fall 2005 - 3 - GO TO NEXT PAGE

　　Finance and Enterprise Risk Management; Core Segment

　　Morning Session

　　3. (12 points) Your company, New West Life, has been seeking expansion into the Asian

　　market. New West’s CEO has negotiated a joint venture opportunity with a Chinese

　　firm, Orient Life.

　　The joint venture will sell investment products to the expanding Chinese middle class.

　　Each of the two partners will have 50% ownership of the venture. New West will invest

　　$600 million, and Orient Life will invest $400 million. Neither partner will be able to

　　exit the venture during the first five years.

　　In addition, New West will have the option, at the end of five years, to buy Orient Life’s

　　share of the partnership, for $550 million.

　　You have assessed that the joint venture has a 50% probability of increasing in value to

　　$2,150 million at the end of five years and a 50% probability of decreasing in value to

　　$600 million at the end of five years. There are no interim
　　高顿网校之生活感悟：那些最能干的人，往往是那些即使在最绝望的环境里，仍不断传送成功意念的人。他们不但鼓舞自己，也振奋他人，不达成功，誓不休止。——安东尼·罗宾

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