【往年真题系列】SOA精算师November2003Course8F（最后一节），已编写完成，烦请重视小编的辛勤劳作。
　　13. Continued
　　(a) (3 points) Demonstrate whether Butterscotch’s shareholders or Caramel’s
　　shareholders will benefit more from the purchase of Nougat. Show your work.
　　(b) (3 points) Adjust the second assumption to assume a corporate tax rate of 25%.
　　Under this assumption demonstrate whether Butterscotch’s shareholders or
　　Caramel’s shareholders will benefit more from the purchase of Nougat. Show
　　your work.
　　(c) (3 points) Explain the reasoning behind the results of (a) and (b).
　　(d) (4 points) Fudge has just finished a promotional agreement with a songwriter.
　　They believe that it will increase their market share with young consumers. This
　　has not yet been announced to the public.
　　Determine how Fudge should fund the acquisition under:
　　(i) The pecking order hypothesis
　　(ii) The signaling theory
　　(e) (2 points) Describe the issues that Fudge might face if it tries to issue only long
　　term debt to fund the acquisition of Nougat.
　　(f) (2 points) Describe the empirical evidence that could explain Caramel’s and
　　Fudge’s current capital structures.
　　COURSE 8: Fall 2003 - 14 - GO ON TO NEXT PAGE
　　Finance
　　Afternoon Session
　　14. (9 points) You have been asked to *uate the performance of the managing directors of
　　your bank’s three trading units. You are given the following data from the trading
　　operations:
　　Target RAROC = 30%
　　Fixed Income
　　Trading (FI)
　　Equity Trading
　　(EQ)
　　Money Market
　　Trading (MM)
　　Trading Earnings 100 70 30
　　Utilized CaR 300 250 100
　　Allocated CaR 500 300 100
　　Correlation Matrix Between Trading Unit Returns:
　　FI EQ MM
　　FI 1.0 -0.2 0.3
　　EQ -0.2 1.0 -0.1
　　MM 0.3 -0.1 1.0
　　(a) (2 points) Assess the risk-adjusted performance of the bank and each trading unit
　　assuming perfect correlation among the units. Show your work.
　　(b) (5 points) Assess the risk-adjusted performance of the bank and each trading unit
　　incorporating imperfect correlation effects. Use an appropriate method to allocate
　　diversification benefits. Show your work.
　　(c) (2 points) Evaluate which risk-adjusted measure is best for this purpose.
　　COURSE 8: Fall 2003 15 STOP
　　FINANCE
　　Afternoon Session
　　15. (3 points) The CEO of a small public company has asked you to sit on his board. At the
　　first meeting you learn that the company offers a “savings plan” to its employees.
　　Employees contribute after-tax money to this “savings plan”.
　　Individual employee account balances are tracked, but all money in the fund is credited
　　with the same interest rate. The rate credited to the plan is the return on the assets, less
　　the actual expenses incurred. Each January 15 the company declares the credited rate for
　　the prior year. Employees who terminate receive a lump sum equal to their full account
　　balance within 30 days of termination. For those employees, interest is applied at the
　　prior year’s crediting rate from January 1 to the termination date.
　　You point out that the plan is taking interest rate risk, and, since the plan is not a separate
　　entity, the company is assuming the risk. You suggest hedging this risk.
　　The CEO replies, “Hedging is too expensive! I want to make sure the employees get the
　　highest return possible, and the costs would eat into their returns. Besides, any public
　　company that spends its money to hedge anything is stealing from its shareholders.
　　Business is about risk!”
　　(a) Using the principles of qualitative asset transformation, explain why the savings
　　plan is a financial intermediary.
　　(b) From the shareholders’ point of view, describe the factors the company should
　　consider in *uating whether or not to hedge.
　　当我活着，我要做生命的主宰，而不做它的奴隶。 ——高顿网校名人哲理