高顿网校帅哥小编全力呼唤全国的准经济师们来温习历年真题Course8E（五）——SOA精算师考试。
　　14.Continued
　　(a)(6points)CalculateVaRsatthe99thpercentileonacomparablebasisundereach
　　ofthefollowingapproaches.Showyourwork.
　　i.Variance–Covariance
　　ii.HistoricalSimulation
　　iii.MonteCarlo
　　(b)(2points)ExplaintoyourclienthowtointerpretVaRandwhyVaRmayvary
　　usingdifferentapproaches.
　　(c)(2points)DescribetheprosandconsofeachoftheabovethreeVaRapproaches.
　　COURSE8:Fall2005-15-STOP
　　EnterpriseRiskManagementSegment
　　AfternoonSession
 
　　15.(6points)DarthInsuranceCompanyisconsideringsellingaone-yearsegregatedfund
　　maturityguarantee.Theunderlyingfund,EquityAssetFund,isanindexfundwhose
　　returnstracktheS&P500.
　　Dataandassumptionsassociatedwiththisproductare:
　　?CurrentunitpriceofEquityAssetFund:$1,050
　　?Guaranteedfundvalueattheendoftheyear:$1,092
　　?Risk-FreeRate:5%peryear
　　?DownwardmovementntfactorforEquityAssetFund:d=0.9
　　?UpwardmovementfactorforEquityAssetFund:u=1.1
　　?TheEquityAssetFundreturnshavealognormaldistribution.
　　(a)Usingaone-periodbinomialtree,determinethecompositionandvalueofthe
　　risk-freehedgeportfolioattheendofyearone.Showyourwork.
　　(b)Re-calculateth*ueofthehedgeportfolioattheendofyearoneassuming
　　managementfeesare1%.Showyourwork.
　　(c)Explainwhythehedgecalculatedisunlikelytobecompletelyeffective.
　　**ENDOFEXAMINATION**
　　AFTERNOONSESSION
　　高顿网校之短句汇编：真正的才智是刚毅的志向。 —— 拿破仑