2005年度真题Course8E（*9堂课目）——北美精算师考试SOA历年甄选，高顿网校热烈欢迎前来浏览的北美精算师滴小伙伴们。
　　Finance and Enterprise Risk Management; Core Segment
　　Morning Session
　　**BEGINNING OF EXAMINATION**
　　FINANCE AND ENTERPRISE RISK MANAGEMENT; CORE SEGMENT
　　MORNING SESSION
　　Questions 1-2 pertain to the Case Study.
　　Each question should be answered independently.
　　1. (13 points) Kelly Ratings recently completed their review of Zoolander and sent you the
　　results, which recommend a downgrade in the rating. Tomas Lyon has asked you to
　　provide a report about this situation.
　　You have gathered the following information as of December 31, 2004:
　　Term net amount at risk is $3,000 million.
　　Whole Life net amount at risk is $1,500 million.
　　The general account annuity business is 100% GICs.
　　Prepare a report that addresses the following points.
　　(a) (2 points) Describe the roles of rating agencies and how they serve the securities
　　markets and the public.
　　(b) (1 point) Describe how rating agencies develop and use liquidity ratios in
　　assessing a firm’s financial strength.
　　(c) (4 points) Calculate Zoolander’s capital adequacy ratio as of December 31, 2004,
　　based on Kelly’s rating methodology.
　　(d) (4 points) Describe aspects of Kelly’s ratings process and models that could be
　　considered inferior to those used by Standard & Poors, Moody’s and Fitch
　　Ratings.
　　(e) (2 points) List the requirements to become a nationally recognized statistical
　　ratings organization, as defined in the SEC’s proposed rule, and determine
　　whether Kelly meets those requirements.
　　COURSE 8: Fall 2005 - 2 - GO TO NEXT PAGE
　　Finance and Enterprise Risk Management; Core Segment
　　Morning Session
　　Questions 1 - 2 pertain to the Case Study.
　　Each question should be answered independently.
　　2. (10 points) Tomas Lyon, Zoolander’s CEO, has asked to speak with you about two
　　concerns: liquidity risk and credit risk.
　　(a) (2 points) Describe the forms of liquidity risk faced by insurance 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 the following data:
　　New West Life weighted average cost of capital (WACC): k = 10%
　　New West Life fe Beta: β NW = 1.2
　　Joint Venture Beta: β JV = 0.8
　　Market Return: rm = 9%
　　Risk-free Rate: rf = 4%
　　The CEO of New West has asked you to review the joint venture opportunity.
　　(a) Determine the appropriate risk-adjusted discount rate to use to assess this
　　opportunity.
　　(b) Assess the opportunity using a net present value (NPV) approach.
　　(c) Re-*uate the joint venture using a contingent claims analysis (CCA) approach.
　　(d) Explain to the CEO why the NPV and CCA results are different.
　　(e) Recommend to the CEO whether or not New West should pursue this
　　opportunity. Justify your response.
　　COURSE 8: Fall 2005 - 4 - GO TO NEXT PAGE
　　Finance and Enterprise Risk Management; Core Segment
　　Morning Session
　　高顿网校之名人语录：我们不得不饮食、睡眠、游玩、恋爱，也就是说，我们不得不接触生活中最甜蜜的事情，不过我们必须不屈服于这些事物。