全世界所有的北美精算师考友们，大家请把目光转移至高顿网校北美精算师考试栏目哦。下面是北美精算师——SOA真题November2004Course8E（最后一部分）。
　　9.Continued
　　(c)(4points)DescribewaystohedgetheliabilitiesoftheVAandthepractical
　　considerationsassociatedwitheach.
　　(d)(2points)ExplainthefactorsGALshouldconsiderindecidingwhethertohedge
　　itsVAliabilities.
　　(e)(3points)TheChiefActuaryhascalledameetingtodiscussfirstyear
　　performanceoftheVAproduct.Yoususpectshewantstodiscontinuefuture
　　sales.
　　Outlinearesponsewhich:
　　?supportscontinuedsalesand
　　?addressesanyproductshortcomings.
　　COURSE8:Fall2004-12-GOONTONEXTPAGE
　　EnterpriseRiskManagementSegment
　　AfternoonSession
　　Question10pertainstotheCaseStudy.
 
　　10.(10points)AsthenewCFOofZoolander,youhavebeenaskedtodeterminewhether
　　thenewEnhancedSavingsAnnuity(ESA)productshouldbelaunchedasscheduled.
　　Youhavemetwiththeproductteamandotherexecutivesinvolvedwiththeproductand
　　havereceivedthefollowingadditionalinformation:
　　?Theproductwillbesoldtomiddle-incomeindividuals.
　　?Theproductinvolvesacomplexinvestmentandtaxstrategy.
　　?Theinvestmentstrategyistotargethighreturnswithmostoftheriskbeingborne
　　bytheindividual.
　　?TheearningsmodelusedbytheproductdevelopmentteamindicatesahighROE
　　basedonthemarketingarea’sprojectedsalesvolume.
　　?Pricingwasbasedonestimatedexpensesusingthesameprojectedsalesvolume
　　usedintheearningsmodel.
　　?Theproductisexpectedtogenerateahighdailyvolumeoftransactions,which
　　willbeadministeredusingthenewTriplePsystem.
　　?Marketingmaterialshavebeendevelopedandordered.
　　?Regulationsrequiredetailedquarterlystatementstobesenttoeachparticipant.
　　?Duetothecomplexityoftheproducttherearestrictdisclosurerequirementsto
　　prospectiveclientsandthecompanymustattestannuallythatthesalesforcehas
　　beenproperlytrained.
　　?Thetaxauthorityhasnotissuedclarificationregardingthetaximplicationsofthis
　　productbutisexpectedtodosoinseveralmonths.
　　Basedonthisinformation:
　　(a)(4points)IdentifyareasofconcernwiththeESAproductdevelopmentprocessto
　　date,andproposeERMbestpracticestoaddresstheseareasofconcern.
　　(b)(4points)DeterminetheoperationalriskexposurestoZoolanderassociatedwith
　　launchingtheESA,andcategorizeaspeople,process,ortechnology.
　　(c)(2points)Describethecomponentsofanoperationalriskassessmentreportthat
　　canbeusedto*uatetherisksassociatedwiththisproduct.
　　COURSE8:Fall2004-13-GOONTONEXTPAGE
　　EnterpriseRiskManagementSegment
　　AfternoonSession
 
　　11.(5points)Themulti-line,multi-nationalinsurancecompany,TitanicLife,recently
　　establishedaRiskManagementCommittee(RMC)upontherecommendationofits
　　internalauditingteam.TheCEOofTitanicischairingtheRMC.Followingthefirsttwo
　　monthlymeetings,heconcludedthatthemeetingagendasandtheRMCitselfwerenot
　　veryfruitful,sincethemajorriskswerehandledwellbyeachrespectiveoperationalunit.
　　AsthenewlyhiredCROofTitanic,youhavebeenaskedtojustifythecontinuationofthe
　　RMC.
　　(a)Explainthebenefitsofacentralizedriskmanagementfunctionandtheelements
　　requiredforitssuccessfulimplementation.
　　(b)IdentifythetypesofriskthatapplytoTitanicLifeasamulti-line,multi-national
　　insurancecompanywhichwouldwarrantacentralizedriskmanagementfunction.
　　12.(5points)YouareaconsultanttoZambro,Inc.,aBBB-ratedoilandgascompany.The
　　companyisrunbyagroupofseniormanagerswhoparticipateinanincentive
　　compensationprogramthathasgrantedthemasignificantamountofstockoptions.
　　Zambrobelievesithasvaluableinformationregardingfutureoilpricesandisconsidering
　　eitheraselectivehedgingstrategybasedonthisinformationorafull-coverhedging
　　strategy.Asanexpertinriskmanagementyouhavebeenaskedtoprepareareportfor
　　seniormanagementonhedgingasariskmanagementtool.
　　(a)Explainthemajorcostsassociatedwithhighervariabilityofcorporateearnings
　　andcashflowanddescribehowriskmanagementcanreduceeachofthesecosts.
　　(b)ExplainhowZambro’screditratingandcompensationprogramcouldeach
　　influencethecompany’schoiceofahedgingstrategy.
　　COURSE8:Fall2004-14-GOONTONEXTPAGE
　　EnterpriseRiskManagementSegment
　　AfternoonSession
　　13.(15points)ExponentialLifehasrecentlysufferedexcessivecreditlossesinitscorporate
　　bondholdings.ExponentialLifehasdecidedthatitssystemofsettingcreditexposure
　　limitsisinadequateandhasassignedyoutoexploreothertoolswithwhichtobetter
　　manageitscreditriskposition.
　　Youhaveextractedthefollowingdatafromcommercialcreditriskmodels:
　　Year
　　(t)
　　Risk-free
　　ZeroRate
　　1-YearForwardCreditSpreads,
　　tYearsForward(FSt)
　　Cumulativerisk-neutral
　　EDFs()Qt
　　13.00%0.90%2.00%
　　23.00%1.26%4.00%
　　(a)UsingtheKMVapproach,determinethecreditspreadofa2-yearcorporatebond
　　withafac*ueof$100thatpaysannualcouponsof5%,assuminga40%
　　recoveryrate.Showyourwork.
　　(b)UsingtheReduced-Formapproach,determinethecreditspreadofa2-year
　　corporatebondwithafac*ueof$100thatpaysannualcouponsof5%,
　　assuminga40%recoveryrate.Showyourwork.
　　(c)ContrasttheunderlyingtheoryandkeyattributesoftheKMVapproachandthe
　　Reduced-Formapproachtocreditriskmeasurement.
　　COURSE8:Fall2004-15-STOP
　　EnterpriseRiskManagementSegment
　　AfternoonSession
　　14.(5points)Yourcompany,theInternationalFinancialConsultingGroup,hasbeen
　　retainedbyTyphoonBank,alargebankinadevelopingAsiancountry.TyphoonBank
　　isveryconcernedaboutitsincreasedexposuretomarketrisk.Furthermore,thecountry’s
　　CentralBankhasrecentlyannouncedplanstointroducetheBasleCommitteeAccordas
　　itsnewregulatoryframework.
　　YouhavebeenassignedtoproduceareportforTyphoonBankthataddressesthe
　　followingissues:
　　(a)RecommendtheformandcontentofamarketriskpolicyforTyphoonBank.
　　(b)Describethecomponentsofanadequatesystemofinternalcontrolswithrespect
　　tointerestrateriskthatwillbeexpectedofTyphoonBankunderaBasle
　　managementframework.
　　**ENDOFEXAMINATION**
　　AFTERNOONSESSION
　　高顿网校之经典总结：当你的错误显露时，可不要发脾气，别以为任性或吵闹，可以隐藏或克服你的缺点。