要踏入10月精算师考场朋友们，November2004Course8E（第二部分）——北美精算师考试SOA，送给大家去复习了。
　　3.(11points)Inarecentprivateconversationwithyou,BillBuck,Zoolander’snew2nd
　　VicePresidentofEnterpriseRiskManagement,expressedhisconcernaboutZoolander’s
　　currentcompensationstructureandtopmanagement’sfrequentabsences.
　　Headded,“IfearbeingcaughtinasituationsimilartoEnronorBarings.Withthe
　　shareholders,BoardofDirectors,ratingagenciesandmanagementallmonitoringthose
　　companies,whywasn’tanyoneawareoftheproblemsbeforeitwastoolate?”
　　(a)(2points)IdentifytheitemsinZoolander’scurrentcompensationstructurethat
　　createimproperincentivesandexplainhowtheycouldimpactthecompany’s
　　financials.
　　(b)(1point)Describetheconcernsashareholdermayhavewiththestructureof
　　Zoolander’scompensationsystem.
　　(c)(4points)Describetherolesthattheshareholders,BoardofDirectors,rating
　　agencies,andmanagementshouldeachplaytoensurethatacompanydoesnot
　　fail.
　　(d)(4points)IdentifyareaswhereZoolander’sshareholders,BoardofDirectors,
　　ratingagencyandmanagementarenotmeetingtheirobligations.
　　COURSE8:Fall2004-5-GOTONEXTPAGE
　　FinanceandEnterpriseRiskManagement;CoreSegment
　　MorningSession
 
　　4.(13points)YouaretheCFOforVanHalbachAirlines.Researchhasdeterminedthat
　　addingroutestoNebraskawouldbeveryprofitableiffuelcostsremainlevelordrop.
　　Financingof100millionisneededtoaddtheadditionalroutes.
　　Assumethefollowing:
　　?Only2scenariosexistforthenextyear:fuelcostsremainlevelortheyincrease.
　　?Th*ueoftheadditionalroutesin1yearis250millioniffuelcostsremain
　　level.
　　?Th*ueoftheadditionalroutesin1yearis30millioniffuelcostsincrease.
　　?Risk-freerateis3%.
　　?CostofEquityCapitalis10%.
　　?CostofDebtCapitalis6%.
　　?Probabilitythatfuelcostsremainlevelis50%.
　　?Riskneutralprobabilitythatfuelcostsremainlevelis60%.
　　(a)(4points)Describeadvantagesanddisadvantagesoffinancingtheroute
　　expansionthrougheachofthefollowingmethods:
　　?Equity
　　?Publicdebt
　　?Privatedebt
　　?Hybriddebt
　　(b)(6points)Calculateth*uetoVanHalbachoftheadditionalroutesundereach
　　ofthefollowingscenarios.Showyourwork.
　　?Thefinancingisfromtheissuanceofcommonstock
　　?Thefinancingisevenlysplitbetweencommonstockissuanceand
　　publicdebt
　　?Thefinancingisfrompublicdebt
　　(c)(2points)Recommendafinancialstructurefortherouteexpansionbasedonyour
　　analysisin(a)and(b)above.Supportyourposition.
　　(d)(1point)Assumederivativesexisttohedgethepriceoffuel.Explainwhether
　　yourrecommendationin(c)wouldchange.Supportyourposition.
　　COURSE8:Fall2004-6-GOTONEXTPAGE
　　FinanceandEnterpriseRiskManagement;CoreSegment
　　MorningSession
 
　　5.(9points)YouhavebeenaskedtoperformananalysisoftheALMfunctionofMurray
　　Life.BelowisinformationconcerningtheassetsandliabilitiesofMurrayLife:
　　AssetsMarketValueEffectiveDuration
　　Bonds7.06.0
　　MortgageBackedSecurities4.54.8
　　Stocks(Preferred&Common)2.50.0
　　MortgageLoans1.07.4
　　Short-TermBonds3.01.0
　　Total18.0
　　LiabilitiesFairValueEffectiveDuration
　　LegacySPDA7.03.5
　　WholeLifeInsurance3.08.6
　　TermLifeInsurance5.04.2
　　Total15.0
　　MurrayLifehasaddedanewSPDAproductwhichisnotincludedintheaboveanalysis.
　　ThenewSPDAhasaliabilityfairvalueof2.0andaneffectivedurationof2.5.The
　　assetsbackingthisliabilityareyettobeinvested.Theavailableinvestmentchoicesare
　　limitedtolong-termbondswithaneffectivedurationof8.0andshort-termbondswithan
　　effectivedurationof1.0.
　　(a)(3points)Foreachofi,ii,andiii,providetheallocationoflong-termandshortterm
　　bondswhichsatisfythestatedALMgoal:
　　i.DurationmatchingofthenewSPDA’sassetsandliabilities
　　ii.Holisticmatchingoftheassetdurationwiththeliabilityduration
　　iii.Holisticminimizationoftheeffectivedurationofsurplus
　　(b)(2points)Describethelimitationsofeachoftheapproachesin(a).
　　(c)(4points)DescribeotherALMandnon-ALMapproachestoprotectMurrayLife
　　againstgeneralinvestmentrisk.
　　COURSE8:Fall2004-7-GOTONEXTPAGE
　　FinanceandEnterpriseRiskManagement;CoreSegment
　　MorningSession
　　高顿网校之金玉良言整理：毁灭人只要一句话，培植一个人却要千句话，请你多口下留情。