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北美精算师往届考试真题Course8F2002November（第二节）

来源：高顿网校 2014-08-21

　　高顿网校小编寄语给各位：计划要细，动手要早，落实要准。计划与目标、行动一致。北美精算师往届考试真题Course8F2002November（第二节）交给大家啦，复习靠自己的。
　　FALL 2002

　　Morning Session

　　Table 2 Surrenderability Factor

　　Provision Factor (%)

　　No surrenders allowed 0

　　Market-value adjustment 50

　　Surrender charges greater than or equal to 5% 50

　　Surrender charges less than 5% 100

　　No surrender charges 100

　　Table 3 Allowable Asset Factors

　　Immediate Scenario

　　(%)

　　Ongoing Scenario

　　(%)

　　Cash and short-term investments 100 100

　　U.S. government securities 100 100

　　Agency passthrough MBS 90 90

　　CMOs-VADMs, PACs, and TACs 90 90

　　CMOs-sequentials 80 80

　　CMOs-Z tranches 0 50

　　Other CMOs 0 0

　　NAIC ‘1’ CMBS 90 90

　　NAIC ‘2’ CMBS 75 90

　　NAIC ‘1’ public corporate bonds 98 100

　　NAIC ‘2’ public corporate bonds 96 100

　　NAIC ‘1’ 144A private placements 80 90

　　NAIC ‘2’ 144A private placements 65 75

　　NAIC ‘1’ non-144A private placements 70 80

　　NAIC ‘2’ non-144A private placements 40 50

　　NAIC ‘3’ public corporate bonds 0 25

　　NAIC ‘3’ 144A private placements 0 20

　　Asset-backed securities 90 90

　　Other noninvestment-grade bonds 0 0

　　Unaffiliated public investment-grade preferred stock 100 100

　　Unaffiliated public common stock 70 85

　　Assets in securities lending programs -fully collateralized 100 100

　　Assets in securities lending programs -otherwise 70 100

　　Funds withheld reinsurance assets 0 0

　　(a) (6 points) Calculate Zest’s liquidity ratio using year-end 2000 information from the case

　　study and the tables listed above.

　　(b) (3 points) Describe the process Standard & Poor’s would use to review Zest’s earnings.

　　COURSE 8 FINANCE - 5 - GO ON TO NEXT PAGE

　　FALL 2002

　　Morning Session

　　Questions 1-4 pertain to the Case Study. Each question should be answered independently.

　　4. (12 points) Zest has been monitoring its capital position as measured by NARA’s Capital

　　Requirements formula. NARA has agreed to postpone an immediate rating downgrade if Zest

　　can provide a viable plan for improving its capital position within the next nine months.

　　You have been hired as a consultant to help Zest deve lop the plan. As a first step, you decide to

　　provide Zest with an extensive list of options to consider, including both internal actions and

　　external marketplace solutions.

　　Describe the alternatives on your list. Comment briefly on the relative effectiveness and

　　practicality of each for Zest’s situation.

　　COURSE 8 FINANCE - 6 - GO ON TO NEXT PAGE

　　FALL 2002

　　Morning Session

　　5. (6 points) Your company has an opportunity to invest in an all-equity project for $52 million to

　　build a plant for a new product line. It is expected that one year later this project will generate an

　　expected present value of subsequent cash flows of $60 million if the product is successful or

　　$45 million if the product is unsuccessful. There is a 50% chance that the product will be

　　successful. Your CFO has rejected funding for this project.

　　Subsequently, you have determined that an additional outlay of $56 million at the end of one

　　year would double the scale and value of the project.

　　Assume the following:

　　? The risk free interest rate is 4%.

　　? A “twin security” trades in the financial markets and has the same risk characteristics

　　and the same proportional payoffs as the project.

　　? The current price of the “twin security” is $100.

　　? The beta of the “twin security” is 1.9.

　　? The market risk premium is 3.8%.

　　(a) Demonstrate why the CFO might have rejected providing capital to this project. Show

　　your work.

　　(b) Calculate the value of the managerial option to expand the project in one year. Show

　　your work.

　　COURSE 8 FINANCE - 7 - GO ON TO NEXT PAGE

　　FALL 2002

　　Morning Session
　　朋友间必须是患难相济，那才能说得上是真正的友谊，你有伤心事，他也哭泣，你睡不着，他也难安息；不管你遇上任何困难，他都心甘情愿和你分担。——高顿网校经典总结

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