SOA精算师考试北美地区——November2004Course8E真题④，大家别马马虎虎的去参加精算师考试哦，时间挤一挤还是有的。
　　9. Continued
　　(c) (4 points) Describe ways to hedge the liabilities of the VA and the practical
　　considerations associated with each.
　　(d) (2 points) Explain the factors GAL should consider in deciding whether to hedge
　　its VA liabilities.
　　(e) (3 points) The Chief Actuary has called a meeting to discuss first year
　　performance of the VA product. You suspect she wants to discontinue future
　　sales.
　　Outline a response which:
　　? supports continued sales and
　　? addresses any product shortcomings.
　　COURSE 8: Fall 2004 - 12 - GO ON TO NEXT PAGE
　　Enterprise Risk Management Segment
　　Afternoon Session
　　Question 10 pertains to the Case Study.
　　10. (10 points) As the new CFO of Zoolander, you have been asked to determine whether
　　the new Enhanced Savings Annuity (ESA) product should be launched as scheduled.
　　You have met with the product team and other executives involved with the product and
　　have received the following additional information:
　　? The product will be sold to middle-income individuals.
　　? The product involves a complex investment and tax strategy.
　　? The investment strategy is to target high returns with most of the risk being borne
　　by the individual.
　　? The earnings model used by the product development team indicates a high ROE
　　based on the marketing area’s projected sales volume.
　　? Pricing was based on estimated expenses using the same projected sales volume
　　used in the earnings model.
　　? The product is expected to generate a high daily volume of transactions, which
　　will be administered using the new Triple P system.
　　? Marketing materials have been developed and ordered.
　　? Regulations require detailed quarterly statements to be sent to each participant.
　　? Due to the complexity of the product there are strict disclosure requirements to
　　prospective clients and the company must attest annually that the sales force has
　　been properly trained.
　　? The tax authority has not issued clarification regarding the tax implications of this
　　product but is expected to do so in several months.
　　Based on this information:
　　(a) (4 points) Identify areas of concern with the ESA product development process to
　　date, and propose ERM best practices to address these areas of concern.
　　(b) (4 points) Determine the operational risk exposures to Zoolander associated with
　　launching the ESA, and categorize as people, process, or technology.
　　(c) (2 points) Describe the components of an operational risk assessment report that
　　can be used to *uate the risks associated with this product.
　　COURSE 8: Fall 2004 - 13 - GO ON TO NEXT PAGE
　　Enterprise Risk Management Segment
　　Afternoon Session
　　11. (5 points) The multi-line, multi-national insurance company, Titanic Life, recently
　　established a Risk Management Committee (RMC) upon the recommendation of its
　　internal auditing team. The CEO of Titanic is chairing the RMC. Following the first two
　　monthly meetings, he concluded that the meeting agendas and the RMC itself were not
　　very fruitful, since the major risks were handled well by each respective operational unit.
　　As the newly hired CRO of Titanic, you have been asked to justify the continuation of the
　　RMC.
　　(a) Explain the benefits of a centralized risk management function and the elements
　　required for its successful implementation.
　　(b) Identify the types of risk that apply to Titanic Life as a multi-line, multi-national
　　insurance company which would warrant a centralized risk management function.
　　12. (5 points) You are a consultant to Zambro, Inc., a BBB-rated oil and gas company. The
　　company is run by a group of senior managers who participate in an incentive
　　compensation program that has granted them a significant amount of stock options.
　　Zambro believes it has valuable information regarding future oil prices and is considering
　　either a selective hedging strategy based on this information or a full-cover hedging
　　strategy. As an expert in risk management you have been asked to prepare a report for
　　senior management on hedging as a risk management tool.
　　(a) Explain the major costs associated with higher variability of corporate earnings
　　and cash flow and describe how risk management can reduce each of these costs.
　　(b) Explain how Zambro’s credit rating and compensation program could each
　　influence the company’s choice of a hedging strategy.
　　COURSE 8: Fall 2004 - 14 - GO ON TO NEXT PAGE
　　Enterprise Risk Management Segment
　　Afternoon Session
　　13. (15 points) Exponential Life has recently suffered excessive credit losses in its corporate
　　bond holdings. Exponential Life has decided that its system of setting credit exposure
　　limits is inadequate and has assigned you to explore other tools with which to better
　　manage its credit risk position.
　　You have extracted the following data from commercial credit risk models:
　　Year
　　(t)
　　Risk-free
　　Zero Rate
　　1-Year Forward Credit Spreads,
　　t Years Forward ( FSt )
　　Cumulative risk-neutral
　　EDFs ( ) Qt
　　1 3.00% 0.90% 2.00%
　　2 3.00% 1.26% 4.00%
　　(a) Using the KMV approach, determine the credit spread of a 2-year corporate bond
　　with a face value of $100 that pays annual coupons of 5%, assuming a 40%
　　recovery rate. Show your work.
　　(b) Using the Reduced-Form approach, determine the credit spread of a 2-year
　　corporate bond with a face value of $100 that pays annual coupons of 5%,
　　assuming a 40% recovery rate. Show your work.
　　(c) Contrast the underlying theory and key attributes of the KMV approach and the
　　Reduced-Form approach to credit risk measurement.
　　COURSE 8: Fall 2004 - 15 - STOP
　　Enterprise Risk Management Segment
　　Afternoon Session
　　14. (5 points) Your company, the International Financial Consulting Group, has been
　　retained by Typhoon Bank, a large bank in a developing Asian country. Typhoon Bank
　　is very concerned about its increased exposure to market risk. Furthermore, the country’s
　　Central Bank has recently announced plans to introduce the Basle Committee Accord as
　　its new regulatory framework.
　　You have been assigned to produce a report for Typhoon Bank that addresses the
　　following issues:
　　(a) Recommend the form and content of a market risk policy for Typhoon Bank.
　　(b) Describe the components of an adequate system of internal controls with respect
　　to interest rate risk that will be expected of Typhoon Bank under a Basle
　　management framework.
　　**END OF EXAMINATION**
　　AFTERNOON SESSION
　　高顿网校之考试箴言：大海的宽广在于汇集大大小小的川流，生命的汪洋在于包容深深浅浅的缘分。