以下则是SOA往年真题系列Course8V（Part3）——2005年1月份北美精算师考试，大家把北美的知识点用心装在脑海里，步步为营。
　　10. (7 points) You are the Chief Risk Officer for a US life insurance company which owns a
　　portfolio of corporate bonds. The ALM committee has proposed a reduction in the credit
　　exposure of their portfolio through the use of derivatives. You have been asked to
　　analyze 4 potential solutions:
　　(i) Asset Swaps
　　(ii) Single Name Default Swaps
　　(iii) Basket Default Swaps
　　(iv) Portfolio Default Swaps
　　(a) (5 points) Describe each derivative and the advantages and disadvantages of
　　each.
　　(b) (2 points) Assuming you decide to recommend a default swap, outline the
　　accounting considerations.
　　COURSE 8: Fall 2005 - 2 - GO TO NEXT PAGE
　　Investment
　　Afternoon Session
　　11. (6 points) Over the past several days, ABC Corporation’s stock has been trading
　　around $25.50.
　　You are given the following financial information for ABC Corporation.
　　Net Income 250,000
　　Goodwill Amortization 40,000
　　Interest Expense 45,000
　　Capital Expenditures 30,000
　　Tax Rate 35%
　　Company Beta 1.2
　　Risk-Free Rate 6.0%
　　Market Risk Premium 5.0%
　　Market Value of Debt 2,000,000
　　Pre-Tax Cost of Debt 10.0%
　　Estimated Perpetual Growth Rate of Cashflows 4.0%
　　Number of Shares Outstanding 100,000
　　ABC’s capital structure is 20% debt and 80% equity.
　　Use the economic model approach to calculate ABC’s market value per share and
　　determine whether or not the share price is currently over- or under-valued.
　　COURSE 8: Fall 2005 - 3 - GO TO NEXT PAGE
　　Investment
　　Afternoon Session
　　12. (4 points) You are given the projected liability cash flows of a company and decide to
　　use the direct method to calculate its fair value. The discount rate used in your initial
　　calculation was determined as the risk-free rate plus the credit spread corresponding to
　　the company’s rating.
　　(a) Analyze the arguments for and against adding the firm’s credit spread to the riskfree
　　rate in calculating fair value of liabilities.
　　(b) Explain how the indirect method of estimating insurance liabilities can be linked
　　to the Modigliani and Miller proposition and put-call parity.
　　COURSE 8: Fall 2005 - 4 - GO TO NEXT PAGE
　　Investment
　　Afternoon Session
　　13. (4 points) Your company enters into a one year forward contract to sell 100 U.S. dollars
　　for 130 Euro in New York.
　　You are given the following:
　　? contract is initially at-the-money
　　? one year dollar risk-free rate of interest is 5% per annum
　　? one year dollar rate of interest at which the counterparty can borrow is 5.5% per
　　annum
　　? exchange rate volatility is 12% per annum
　　? defaults are recognized only at the end of the life of the contract
　　? recovery rate is zero when default occurs
　　(a) Calculate the percentage loss from defaults during the life of the contract.
　　(b) Calculate the value of an at-the-money call option to buy 130 Euro in one year.
　　(c) Estimate the present value of the cost of defaults on the forward contract.
　　COURSE 8: Fall 2005 - 5 - GO TO NEXT PAGE
　　Investment
　　Afternoon Session
　　14. (6 points)
　　(a) Explain the difference between the net present value approach and the risk-neutral
　　valuation approach for valuing a capital investment project.
　　(b) List the advantages of the risk-neutral valuation approach for valuing real options.
　　(c) Describe the impact on the expected return and volatility in moving from real
　　world to risk-neutral world.
　　(d) Distinguish between the real world and the risk-neutral approaches of valuing a
　　derivative.
　　(e) Describe the conditions under which both approaches in (d) give the same value
　　of a derivative.
　　COURSE 8: Fall 2005 - 6 - GO TO NEXT PAGE
　　Investment
　　Afternoon Session
　　高顿网校之名人信念：科学决不是也永远不会是一本写完了的书。每一项重大成就都会带来新的问题。任何一个发展随着时间的推移都会出现新的严重的困难。