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北美精算师历年考试真题放送：November2003Course8V课程（第三讲）

来源：高顿网校 2014-08-29

　　请时刻留意高顿网校“北美精算师”频道的每日大纲的实时更新！我们为您的考试负责到底！
　　10. Continued

　　(b) Determine the impact of an immediate 10% depreciation in the U.S. dollar on

　　(i) the consolidated surplus of CanCo and TargetCo in Canadian dollars, and

　　(ii) the net cash flow of TargetCo itself.

　　(c) Describe the external concerns associated with the purchase that may affect

　　current and potential CanCo shareholders.

　　(d) Outline how options and other financial instruments could be used to manage the

　　foreign exchange exposure of TargetCo’s net cash flow position and compare

　　TargetCo’s risk exposure under each approach.

　　(e) Calculate the cost of a European style currency option that would protect

　　TargetCo’s net cash flow position in U.S. dollars for one year. Assume that the

　　currency value follows a geometric Brownian motion process and all cash flows

　　are end-of-year.

　　COURSE 8: Fall 2003 - 9 - GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　11. (6 points) You are given the following information.

　　Current index value = 800

　　Annual volatility of index = 20%

　　No dividends

　　Price of 1 month at-the-money European call index option = 25.025

　　One-month time steps for all calculations

　　Risk-free rate is the same for all periods

　　(a) Calculate the risk-free rate implied in the call price using a binomial tree.

　　(b) Estimate an upper and lower bound on the price of a 2-month American lookback

　　call.

　　(c) Calculate the price of a 2-month American lookback call using a binomial tree.

　　12. (3 points) ABC Life has formulated an ALM strategy whereby the long-term liability

　　cash flows of its non-participating life block are backed with equities. ABC Life does not

　　feel that duration is an appropriate metric to measure the interest rate sensitivity of this

　　asset class. Stochastic modeling techniques are used to measure the likelihood that the

　　equities will be sufficient to meet the long-term cash flows beyond 20 years.

　　Critique the use of duration for equities in the ALM strategy for ABC Life.

　　**END OF EXAMINATION**

　　MORNING SESSION

　　COURSE 8: Fall 2003 - 10 - GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　**BEGINNING OF EXAMINATION**

　　AFTERNOON SESSION

　　13. (3 points) Describe the key features of derivatives risk management aimed at preventing

　　derivatives mishaps in an insurance company setting.

　　14. (4 points) ABC Life is investigating hedging the currency exposure of its international

　　operations.

　　(a) Describe the critical factors for identifying the optimal degree of currency

　　exposure to be hedged.

　　(b) For each of the critical factors indicate whether the optimal hedge ratio of the

　　currency exposure increases or decreases as the factor increases.

　　(c) Explain the two economic theories relating to exchange rates.

　　(d) Assess the impact on the hedging strategy for the currency risk assuming the

　　economic theories are:

　　(i) True

　　(ii) False

　　COURSE 8: Fall 2003 - 11 - GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　15. (4 points) Given the following information.

　　POOL A POOL B

　　Originator GNMA FNMA

　　50% 30-Type 30-year fixed year fixed

　　50% balloon

　　Weighted Average Coupon 8.0% 9.0%

　　Weighted Average Maturity 25.6 years 19.2 years

　　27 years 80% 25 years 20%

　　22 years 20%

　　19 years 20%

　　16 years 20%

　　Maturity Distribution

　　20 years 20%

　　14 years 20%

　　% Refinance Mortgagors 20% 80%

　　% Home Purchase Mortgagors 80% 20%

　　Economic Environment: Strong housing market

　　Current Yield Curve

　　1.5%

　　3.5%

　　1-year Treasury

　　10-year Treasury

　　30-year Treasury 5.5%

　　Rates for New Issues of 30-Year Fixed Mortgages for Calendar Year 2003 through

　　November

　　8.6% July 7.5%

　　8.4% August 7.0%

　　8.2% September 6.5%

　　8.0% October 6.0%

　　7.9% November 6.5%

　　January

　　February

　　March

　　April

　　May

　　June 7.6%

　　(a) Describe the four primary structural components of the Goldman Sachs mortgage

　　backed securities prepayment model including

　　(i) primary variables that drive change in these components, and

　　(ii) expected impact of these variables on total prepayments.

　　(b) Compare and contrast the impact on prepayments in the two mortgage pools for

　　each of the variables described in (a).

　　COURSE 8: Fall 2003 - 12 - GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session
　　做决定之前仔细考虑，一旦作了决定就要勇往直前、坚持到底。——高顿网校金玉良言

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