我们高顿网校给您提供SOA精算师考试真题Course8E(第四块),不好好看讲义可会辜负我们的苦心哦。也辜负了你自己和爱你的人。
  11.(8points)AsthenewCFOofZoolander,youcallPeterFish,theCIO,todiscusshisnew
  derivativeinitiative.Yousharesomeofyourconcernsregardingoversightandrisk
  managementwithrespecttothisinitiative.Peterassuresyouthathisteamwouldbe
  receptivetoauditreviewsbutdoesnotwanttoseetheteamconstrainedintheirday-today
  operationsandintheirabilitytoachievetheirprofitobjectives.
  (a)Identifythepotentialoperationalriskexposuresthatarecontainedintheproposed
  derivativeinitiative.
  (b)ReferencetheGroupofThirty(G-30)recommendations,andforeachsuggest
  changestoZoolander’sderivativeinitiativethatwouldreduceoperationalrisk
  concerns.
 
  12.(6points)ZoolanderisrequiredtocomplywithSection404oftheSarbanes-OxleyAct
  bysubmittinganannualreportwithrespecttointernalcontroloverfinancialreporting.
  Inpreparation,theBoardofDirectorshasaskedyouforthefollowingitems.
  (a)(1point)Identifythespecificassurancesthatmustbemadewithrespectto
  internalcontroloverfinancialreportingundertheAct.
  (b)(2points)IdentifyotherspecificareastheBoardofDirectorsshouldquestionand
  discusswithmanagementtodetermineifinternalcontrolsoverfinancialreporting
  aresoundandeffective.
  (c)(3points)Preparearesponsetothreeofthequestionsyouidentifiedin(b)as
  theyapplytoZoolander,citingspecificexamplestosupportyouranswer.
  COURSE8:Fall2005-12-GOONTONEXTPAGE
  EnterpriseRiskManagementSegment
  AfternoonSession
 
  13.(10points)Yourcompany,GlobalDynamicLife&Annuity(GL&A),iscurrently
  consideringofferinganEquity-IndexedAnnuityproduct.Therearefourproposed
  designsunderconsideration,eachemployingadifferentindexmethodology:
  i.Point-to-Point(PTP)
  ii.CompoundAnnualRatchet(CAR),witha2%floor
  iii.SimpleAnnualRatchet(SAR),witha0%floor
  iv.HighWaterMark(HWM).
  Theproductbeingconsideredisa5-yearsinglepremium$1,000contractwitha
  guaranteeof2%on93%ofthepremium.Foreachequity-linkedoption,aparticipation
  rateof65%willbeused.
  Youareprovidedwiththefollowingadditionaldataandinformationformodeling
  purposes:
  ?Risk-freerateofinterestfornextfiveyears:5%
  ?Returnsonequity-linkedindexfornextfiveyears:
  Year1:7%
  Year2:1%
  Year3:6%
  Year4:10%
  Year5:-18%
  ?Expensesareassumedtobe1.5%ofpremium.
  (a)(6points)Usingthedataandassumptionsprovided:
  i.Calculatethepayoffattheendofthefifthyearundereachofthefour
  contractdesigns.Showyourwork.
  ii.Calculatethepercentageofthepremiumthatwouldbeavailabletopay
  fortheindexationbenefit.Showyourwork.
  (b)(2points)Foreachproposedcontractdesign,describetheapproachyouwould
  usetodeterminewhethertheproposeddesignallowsforsufficientpremiumsto
  purchasecalloptionsfortheindexguarantee.Youdonotneedtocompletethe
  calculations.
  (c)(2points)Rankthefourmethodologiesaccordingtoyourexpectationsofthe
  optioncostundereachindexationmethodandexplainyourrationale.
  COURSE8:Fall2005-13-GOONTONEXTPAGE
  EnterpriseRiskManagementSegment
  AfternoonSession
 
  14.(10points)Yourcompany,JabbaandAssociates,hasaclientwhoseentireholdingsare
  investedintwostocks:
  NumberofSharesCurrentPriceperShareCurrentValue
  StockA(SA)1million$10.00$10,000,000
  StockB()SB2million$5.00$10,000,000
  Total$20,000,000
  Youhavebeenprovidedthefollowingdata:
  Variance-Covariance:ThresholdLimitsasaFunction
  (basedondailyhistoricalobservations)oftheConfidenceLevel:
  StockAStockB99.97%-3.43
  Average0.10%0.05%99.87%-3.00
  StandardDeviation2.00%1.00%99%-2.33
  CorrelationCoefficientρA,B=0.295%-1.65
  HistoricalSimulation:
  MonteCarloSimulation:
  Rank10-dayReturnsRank10-dayReturns
  100-9.6%1000-15.7%
  99-8.9%999-15.3%
  98-7.9%::
  ::991-14.9%
  90-7.1%990-14.7%
  89-6.9%989-14.4%
  ::::
  501.1%5000.8%
  ::::
  113.4%113.2%
  103.7%103.5%
  ::::
  28.2%29.1%
  19.0%110.4%
  COURSE8:Fall2005-14-GOONTONEXTPAGE
  EnterpriseRiskManagementSegment
  AfternoonSession
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