高顿网校赶赴各地的北美精算师考友们，大家请再拼搏最后这段时间了，拿下今秋的资格证哦！
　　surance companies and
　　the importance of maintaining adequate liquidity.
　　(b) (1 point) Comment on Zoolander’s current liquidity position.
　　(c) (4 points) Lyon is concerned with a drop in the quality of the bond portfolio. He
　　asks you to build a model to quantify the potential exposure over the next year
　　due to credit risk. Lyon wants an expectation as well as a “worst case scenario”
　　based on a confidence interval of 99%.
　　You have recently become familiar with the CreditMetrics approach to modeling
　　credit risk. Outline a plan to develop a model for Zoolander, including the major
　　calculations and assumptions needed.
　　(d) (3 points) Lyon wants to consider securitization as a means of reducing credit and
　　liquidity risks and as a management tool.
　　Explain the advantages to Zoolander of securitizing:
　　i. Private Placement Bonds
　　ii. A Closed Block of Insurance Liabilities
　　COURSE 8: Fall 2005 - 3 - GO TO NEXT PAGE
　　Finance and Enterprise Risk Management; Core Segment
　　Morning Session
 
　　3. (12 points) Your company, New West Life, has been seeking expansion into the Asian
　　market. New West’s CEO has negotiated a joint venture opportunity with a Chinese
　　firm, Orient Life.
　　The joint venture will sell investment products to the expanding Chinese middle class.
　　Each of the two partners will have 50% ownership of the venture. New West will invest
　　$600 million, and Orient Life will invest $400 million. Neither partner will be able to
　　exit the venture during the first five years.
　　In addition, New West will have the option, at the end of five years, to buy Orient Life’s
　　share of the partnership, for $550 million.
　　You have assessed that the joint venture has a 50% probability of increasing in value to
　　$2,150 million at the end of five years and a 50% probability of decreasing in value to
　　$600 million at the end of five years. There are no interim cash flows expected in the
　　five year period.
　　You are given
　　高顿网校之名人感触：每个人的生命都是一只小船，梦想是小船的风帆。