高顿网校美女小编呼唤全国的准北美精算师们来复习【北美精算师】02年11月SOA真题Course8F（四），这样考试心里就有底气了。
　　Fall 2002
　　Afternoon Session
　　8. Continued
　　The results of the Credit Metrics TM calculation for this bond are:
　　?  Expected market value = $116.58
　　?  Fifth percentile level value = $106.14
　　?  Standard deviation = $4.15
　　Last week Huge Energy Corp defaulted on the bond, and it is now trading at $20 per $100 of
　　maturity value. This resulted in an $80 million loss to SPE Corp’s portfolio, which represents
　　8% of SPE Corp’s total assets.
　　Still in shock from the $80 million loss on Huge Energy Corp, SPE Corp’s Chief Financial
　　Officer (CFO) stopped in your office yesterday and said,
　　“I can’t believe that our CreditMetrics TM analysis was so inconsistent with the performance of
　　Huge Energy! At my last continuing education seminar, a consultant suggested that something
　　called VAR would solve all of our problems. We’re having an executive board meeting next
　　Monday, and I’d like you to explain this VAR to us. How is it any better than CreditMetrics TM?
　　What are its limitations? And we’d like to see some numbers, too!”
　　To plan your presentation to the executive board, you perform Monte Carlo simulations of the
　　Huge Energy Corp bond as of the date of purchase. Your results, based on a one- year time
　　horizon, are shown in the following table. You decide to use a 5% confidence level.
　　PROBABILITY (%) RETURN $ MILLION
　　1 -50
　　2 -25
　　3 -10
　　5 0
　　10 5
　　20 10
　　30 15
　　15 20
　　10 25
　　3 30
　　1 50
　　The expected return is $12.6 million.
　　(a) (4 points) Explain why the CreditMetrics TM measure of credit risk could have been so
　　inaccurate.
　　(b) (2 points) Describe the more complete CreditMetrics TM analysis that could have been
　　performed six months ago to manage SPE Corp’s exposure to this issuer.
　　COURSE 8 FINANCE - 11 - GO ON TO NEXT PAGE
　　Fall 2002
　　Afternoon Session
 
　　8. Continued
　　(c) (6 points) Outline your report to the executive board on VAR, addressing each of the
　　CFO’s comments.
　　(i) Explain the VAR measure and how it could be used by SPE Corp.
　　(ii) Compare VAR to CreditMetrics TM .
　　(iii) Indicate the limitations of VAR.
　　(iv) Provide a numerical demonstration of the application of VAR to the Huge Energy
　　Corp bond.
　　(d) (2 points) A board member expresses concern that VAR does not adequately capture the
　　asset / liability risk of the company. You believe that Moody’s new C-3a risk-based
　　capital approach could be adapted to VAR. Describe the C-3a approach, and propose the
　　adaptations you plan to make.
 
　　(e) (5 points) Due to the $80 million loss on Huge Energy Corp, SPE Corp is now capital
　　constrained. The CEO asks you to review all capital market activities and determine the
　　appropriate amounts of risk capital for each business unit. Outline the steps in
　　developing a risk allocation methodology, and identify issues that SPE Corp must
　　consider.
　　(f) (1 point) One of SPE Corp’s asset managers has received approval to originate a
　　portfolio of Baa bonds and is allocated capital based on the new methodology. Over the
　　next twelve months the asset manager originates a portfolio consisting only of Aaa bonds.
　　Describe the performance issues SPE Corp now faces.
　　COURSE 8 FINANCE - 12 - GO ON TO NEXT PAGE
　　Fall 2002
　　Afternoon Session
 
　　9. (4 points) You are the Chief Actuary of Conglomerate Life Insurance Company of Kansas
　　(CLICK), with life operations in the US. CLICK is considering expansion into either Canada or
　　Australia. Your pricing actuaries are developing a 10-year non-participating endowment
　　insurance product, ClassicExample, for sale in the expansion country. Premium for the new
　　product is payable each policy year. The Chief Financial Officer is interested in profit emergence
　　for the product under the Canadian GAAP and Australian MOS systems.
　　(a) Describe the reserve methodology under each system.
　　(b) Describe the latitude CLICK will have in setting reserve assumptions under each system.
　　(c) Describe the treatment of acquisition costs under each system.
　　(d) Explain what would happen under each system if actual experience proved much less
　　favorable than the initial assumptions.
　　COURSE 8 FINANCE - 13 - GO ON TO NEXT PAGE
　　Fall 2002
　　Afternoon Session
 
　　10. (14 points) You work for the Chief Financial Officer (CFO) of Maple Leaf Life, a Canadian
　　insurance company that demutualized one year ago. After last year’s IPO, Maple Leaf has no
　　debt or preferred stock on its balance sheet.
　　Maple Leaf is uniquely positioned to take advantage of expansion opportunities. It has:
　　?  High product profit margins
　　?  Lower operating costs than its peers
　　?  A strong international life insurance distribution system
　　?  A large presence in the domestic group benefits market
　　Maple Leaf is considering expanding in the group benefits market using its international sales
　　distribution system. Its low cost structure gives it a natural advantage in this market. While the
　　opportunities are forecasted to provide a high return, they do require additional capital.
　　The senior management team has proposed two alternatives:
　　?  The Chief Operating Officer suggests that capital needs could be met by reducing
　　shareholder dividends.
　　?  The CFO believes that adding debt capital would be the most desirable way to
　　fund expansion.
　　The Chief Executive Officer wishes to sustain Maple Leaf’s growth while increasing the
　　company’s stock price, which has traded at a low price to book ratio relative to its peers since the
　　IPO. Since Maple Leaf is widely held, he is concerned about how the management team’s
　　actions will be perceived in the market. Additionally, he wants Maple Leaf to remain an
　　independent company with a strong balance sheet.
　　The CFO has asked you to assist in the *uation of these two alternatives.
　　(a) (6 points) Describe the considerations of reducing shareholder dividends as they apply to
　　Maple Leaf.
　　(b) (6 points) Describe the considerations of issuing debt as they apply to Maple Leaf.
　　(c) (2 points) Recommend which alternative Maple Leaf should choose, and justify your
　　recommendation.
　　COURSE 8 FINANCE - 14 - GO ON TO NEXT PAGE
　　真诚的、十分理智的友谊是人生的无价之宝。你能否对你的朋友守信不渝，永远做一个无愧于他的人，这就是你的灵魂、性格、心理以至于道德的*4的考验。——高顿网校金玉良言

 

 
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