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SOA真题北美精算师考试：2001年11月Course8V（*9课）

来源：高顿网校 2014-08-14

　　我们高顿网校北美精算师小编们给大家罗列了SOA真题北美精算师考试：2001年11月Course8V（*9课），大纲最经典了，不得不多看几遍哦。
　　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
　　心慈者，寿必长。心刻者，寿必促。骨宜刚，气宜柔，志宜大，胆宜小，心宜虚，言宜实，慧宜增，福宜惜，虑不远，忧亦近。——高顿网校考试励志

扫一扫微信，关注精算师*7考试动态

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