高顿网校小编寄语给各位：计划要细，动手要早，落实要准。计划与目标、行动一致。北美精算师往届考试真题Course8F2002November（第二节）交给大家啦，复习靠自己的。
　　FALL 2002
　　Morning Session
　　Table 2 Surrenderability Factor
　　Provision Factor (%)
　　No surrenders allowed 0
　　Market-value adjustment 50
　　Surrender charges greater than or equal to 5% 50
　　Surrender charges less than 5% 100
　　No surrender charges 100
　　Table 3 Allowable Asset Factors
　　Immediate Scenario
　　(%)
　　Ongoing Scenario
　　(%)
　　Cash and short-term investments 100 100
　　U.S. government securities 100 100
　　Agency passthrough MBS 90 90
　　CMOs-VADMs, PACs, and TACs 90 90
　　CMOs-sequentials 80 80
　　CMOs-Z tranches 0 50
　　Other CMOs 0 0
　　NAIC ‘1’ CMBS 90 90
　　NAIC ‘2’ CMBS 75 90
　　NAIC ‘1’ public corporate bonds 98 100
　　NAIC ‘2’ public corporate bonds 96 100
　　NAIC ‘1’ 144A private placements 80 90
　　NAIC ‘2’ 144A private placements 65 75
　　NAIC ‘1’ non-144A private placements 70 80
　　NAIC ‘2’ non-144A private placements 40 50
　　NAIC ‘3’ public corporate bonds 0 25
　　NAIC ‘3’ 144A private placements 0 20
　　Asset-backed securities 90 90
　　Other noninvestment-grade bonds 0 0
　　Unaffiliated public investment-grade preferred stock 100 100
　　Unaffiliated public common stock 70 85
　　Assets in securities lending programs -fully collateralized 100 100
　　Assets in securities lending programs -otherwise 70 100
　　Funds withheld reinsurance assets 0 0
　　(a) (6 points) Calculate Zest’s liquidity ratio using year-end 2000 information from the case
　　study and the tables listed above.
　　(b) (3 points) Describe the process Standard & Poor’s would use to review Zest’s earnings.
　　(c) (3 points) Recommend whether Zest should approach Standard & Poor’s for a rating.
　　COURSE 8 FINANCE - 5 - GO ON TO NEXT PAGE
　　FALL 2002
　　Morning Session
　　Questions 1-4 pertain to the Case Study. Each question should be answered independently.
 
　　4. (12 points) Zest has been monitoring its capital position as measured by NARA’s Capital
　　Requirements formula. NARA has agreed to postpone an immediate rating downgrade if Zest
　　can provide a viable plan for improving its capital position within the next nine months.
　　You have been hired as a consultant to help Zest deve lop the plan. As a first step, you decide to
　　provide Zest with an extensive list of options to consider, including both internal actions and
　　external marketplace solutions.
　　Describe the alternatives on your list. Comment briefly on the relative effectiveness and
　　practicality of each for Zest’s situation.
　　COURSE 8 FINANCE - 6 - GO ON TO NEXT PAGE
　　FALL 2002
　　Morning Session
 
　　5. (6 points) Your company has an opportunity to invest in an all-equity project for $52 million to
　　build a plant for a new product line. It is expected that one year later this project will generate an
　　expected present value of subsequent cash flows of $60 million if the product is successful or
　　$45 million if the product is unsuccessful. There is a 50% chance that the product will be
　　successful. Your CFO has rejected funding for this project.
　　Subsequently, you have determined that an additional outlay of $56 million at the end of one
　　year would double the scale and value of the project.
　　Assume the following:
　　?  The risk free interest rate is 4%.
　　?  A “twin security” trades in the financial markets and has the same risk characteristics
　　and the same proportional payoffs as the project.
　　?  The current price of the “twin security” is $100.
　　?  The beta of the “twin security” is 1.9.
　　?  The market risk premium is 3.8%.
　　(a) Demonstrate why the CFO might have rejected providing capital to this project. Show
　　your work.
　　(b) Calculate the value of the managerial option to expand the project in one year. Show
　　your work.
　　(c) Determine if arbitrage opportunities exist for your company. Show your work.
　　COURSE 8 FINANCE - 7 - GO ON TO NEXT PAGE
　　FALL 2002
　　Morning Session
　　朋友间必须是患难相济，那才能说得上是真正的友谊，你有伤心事，他也哭泣，你睡不着，他也难安息；不管你遇上任何困难，他都心甘情愿和你分担。——高顿网校经典总结

 

 
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