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

报考指南

报考查询

招生简章

分数线

考试日历

资料中心

备考经验

择校择专

院校排名

全部

【北美精算师】02年11月SOA真题Course8F（四）

来源：高顿网校 2014-08-21

　　高顿网校美女小编呼唤全国的准北美精算师们来复习【北美精算师】02年11月SOA真题Course8F（四），这样考试心里就有底气了。
　　Fall 2002

　　Afternoon Session

　　8. Continued

　　The results of the Credit Metrics TM calculation for this bond are:

　　? Expected market value = $116.58

　　? Fifth percentile level value = $106.14

　　? Standard deviation = $4.15

　　Last week Huge Energy Corp defaulted on the bond, and it is now trading at $20 per $100 of

　　maturity value. This resulted in an $80 million loss to SPE Corp’s portfolio, which represents

　　8% of SPE Corp’s total assets.

　　Still in shock from the $80 million loss on Huge Energy Corp, SPE Corp’s Chief Financial

　　Officer (CFO) stopped in your office yesterday and said,

　　“I can’t believe that our CreditMetrics TM analysis was so inconsistent with the performance of

　　Huge Energy! At my last continuing education seminar, a consultant suggested that something

　　called VAR would solve all of our problems. We’re having an executive board meeting next

　　Monday, and I’d like you to explain this VAR to us. How is it any better than CreditMetrics TM?

　　What are its limitations? And we’d like to see some numbers, too!”

　　To plan your presentation to the executive board, you perform Monte Carlo simulations of the

　　Huge Energy Corp bond as of the date of purchase. Your results, based on a one- year time

　　horizon, are shown in the following table. You decide to use a 5% confidence level.

　　PROBABILITY (%) RETURN $ MILLION

　　1 -50

　　2 -25

　　3 -10

　　5 0

　　10 5

　　20 10

　　30 15

　　15 20

　　10 25

　　3 30

　　1 50

　　The expected return is $12.6 million.

　　(a) (4 points) Explain why the CreditMetrics TM measure of credit risk could have been so

　　inaccurate.

　　(b) (2 points) Describe the more complete CreditMetrics TM analysis that could have been

　　performed six months ago to manage SPE Corp’s exposure to this issuer.

　　COURSE 8 FINANCE - 11 - GO ON TO NEXT PAGE

　　Fall 2002

　　Afternoon Session

　　8. Continued

　　CFO’s comments.

　　(i) Explain the VAR measure and how it could be used by SPE Corp.

　　(ii) Compare VAR to CreditMetrics TM .

　　(iii) Indicate the limitations of VAR.

　　(iv) Provide a numerical demonstration of the application of VAR to the Huge Energy

　　Corp bond.

　　(d) (2 points) A board member expresses concern that VAR does not adequately capture the

　　asset / liability risk of the company. You believe that Moody’s new C-3a risk-based

　　capital approach could be adapted to VAR. Describe the C-3a approach, and propose the

　　adaptations you plan to make.

　　(e) (5 points) Due to the $80 million loss on Huge Energy Corp, SPE Corp is now capital

　　constrained. The CEO asks you to review all capital market activities and determine the

　　appropriate amounts of risk capital for each business unit. Outline the steps in

　　developing a risk allocation methodology, and identify issues that SPE Corp must

　　consider.

　　(f) (1 point) One of SPE Corp’s asset managers has received approval to originate a

　　portfolio of Baa bonds and is allocated capital based on the new methodology. Over the

　　next twelve months the asset manager originates a portfolio consisting only of Aaa bonds.

　　Describe the performance issues SPE Corp now faces.

　　COURSE 8 FINANCE - 12 - GO ON TO NEXT PAGE

　　Fall 2002

　　Afternoon Session

　　9. (4 points) You are the Chief Actuary of Conglomerate Life Insurance Company of Kansas

　　(CLICK), with life operations in the US. CLICK is considering expansion into either Canada or

　　Australia. Your pricing actuaries are developing a 10-year non-participating endowment

　　insurance product, ClassicExample, for sale in the expansion country. Premium for the new

　　product is payable each policy year. The Chief Financial Officer is interested in profit emergence

　　for the product under the Canadian GAAP and Australian MOS systems.

　　(a) Describe the reserve methodology under each system.

　　(b) Describe the latitude CLICK will have in setting reserve assumptions under each system.

　　(d) Explain what would happen under each system if actual experience proved much less

　　favorable than the initial assumptions.

　　COURSE 8 FINANCE - 13 - GO ON TO NEXT PAGE

　　Fall 2002

　　Afternoon Session

　　10. (14 points) You work for the Chief Financial Officer (CFO) of Maple Leaf Life, a Canadian

　　insurance company that demutualized one year ago. After last year’s IPO, Maple Leaf has no

　　debt or preferred stock on its balance sheet.

　　Maple Leaf is uniquely positioned to take advantage of expansion opportunities. It has:

　　? High product profit margins

　　? Lower operating costs than its peers

　　? A strong international life insurance distribution system

　　? A large presence in the domestic group benefits market

　　Maple Leaf is considering expanding in the group benefits market using its international sales

　　distribution system. Its low cost structure gives it a natural advantage in this market. While the

　　opportunities are forecasted to provide a high return, they do require additional capital.

　　The senior management team has proposed two alternatives:

　　? The Chief Operating Officer suggests that capital needs could be met by reducing

　　shareholder dividends.

　　? The CFO believes that adding debt capital would be the most desirable way to

　　fund expansion.

　　The Chief Executive Officer wishes to sustain Maple Leaf’s growth while increasing the

　　company’s stock price, which has traded at a low price to book ratio relative to its peers since the

　　IPO. Since Maple Leaf is widely held, he is concerned about how the management team’s

　　actions will be perceived in the market. Additionally, he wants Maple Leaf to remain an

　　independent company with a strong balance sheet.

　　The CFO has asked you to assist in the evaluation of these two alternatives.

　　(a) (6 points) Describe the considerations of reducing shareholder dividends as they apply to

　　Maple Leaf.

　　(b) (6 points) Describe the considerations of issuing debt as they apply to Maple Leaf.

　　recommendation.

　　COURSE 8 FINANCE - 14 - GO ON TO NEXT PAGE
　　真诚的、十分理智的友谊是人生的无价之宝。你能否对你的朋友守信不渝，永远做一个无愧于他的人，这就是你的灵魂、性格、心理以至于道德的*4的考验。——高顿网校金玉良言

扫一扫微信，关注精算师*7考试动态

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