真心感谢对我们高顿网校小编工作的信任与大力支持：2005年北美精算师SOA真题Course8E——最后一大块大纲数据。
　　14. Continued
　　(a) (6 points) Calculate VaRs at the 99th percentile on a comparable basis under each
　　of the following approaches. Show your work.
　　i. Variance – Covariance
　　ii. Historical Simulation
　　iii. Monte Carlo
　　(b) (2 points) Explain to your client how to interpret VaR and why VaR may vary
　　using different approaches.
　　(c) (2 points) Describe the pros and cons of each of the above three VaR approaches.
　　COURSE 8: Fall 2005 - 15 - STOP
　　Enterprise Risk Management Segment
　　Afternoon Session
　　15. (6 points) Darth Insurance Company is considering selling a one-year segregated fund
　　maturity guarantee. The underlying fund, Equity Asset Fund, is an index fund whose
　　returns track the S&P 500.
　　Data and assumptions associated with this product are:
　　? Current unit price of Equity Asset Fund: $1,050
　　? Guaranteed fund value at the end of the year: $1,092
　　? Risk-Free Rate: 5% per year
　　? Downward movement nt factor for Equity Asset Fund: d = 0.9
　　? Upward movement factor for Equity Asset Fund: u = 1.1
　　? The Equity Asset Fund returns have a lognormal distribution.
　　(a) Using a one-period binomial tree, determine the composition and value of the
　　risk-free hedge portfolio at the end of year one. Show your work.
　　(b) Re-calculate the value of the hedge portfolio at the end of year one assuming
　　management fees are 1%. Show your work.
　　(c) Explain why the hedge calculated is unlikely to be completely effective.
　　**END OF EXAMINATION**
　　高顿网校之名人名言：成功并不能用一个人达到什么地位来衡量，而是依据他在迈向成功的过程中，到底克服了多少困难和障碍。