SOA真题Course8F精算师考试

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COURSE8:Fall2005-1-GOTONEXTPAGE
FinanceandEnterpriseRiskManagement;CoreSegment
MorningSession
**BEGINNINGOFEXAMINATION**
FINANCEANDENTERPRISERISKMANAGEMENT;CORESEGMENT
MORNINGSESSION
Questions1-2pertaintotheCaseStudy.
Eachquestionshouldbeansweredindependently.
1.(13points)KellyRatingsrecentlycompletedtheirreviewofZoolanderandsentyouthe
results,whichrecommendadowngradeintherating.TomasLyonhasaskedyouto
provideareportaboutthissituation.
YouhavegatheredthefollowinginformationasofDecember31,2004:
Termnetamountatriskis$3,000million.
WholeLifenetamountatriskis$1,500million.
Thegeneralaccountannuitybusinessis100GICs.
Prepareareportthataddressesthefollowingpoints.
(a)(2points)Describetherolesofratingagenciesandhowtheyservethesecurities
marketsandthepublic.
(b)(1point)Describehowratingagenciesdevelopanduseliquidityratiosin
assessingafirm’sfinancialstrength.
(c)(4points)CalculateZoolander’scapitaladequacyratioasofDecember31,2004,
basedonKelly’sratingmethodology.
(d)(4points)DescribeaspectsofKelly’sratingsprocessandmodelsthatcouldbe
consideredinferiortothoseusedbyStandard&Poors,Moody’sandFitch
Ratings.
(e)(2points)Listtherequirementstobecomeanationallyrecognizedstatistical
ratingsorganization,asdefinedintheSEC’sproposedrule,anddetermine
whetherKellymeetsthoserequirements.
COURSE8:Fall2005-2-GOTONEXTPAGE
FinanceandEnterpriseRiskManagement;CoreSegment
MorningSession
Questions1-2pertaintotheCaseStudy.
Eachquestionshouldbeansweredindependently.
2.(10points)TomasLyon,Zoolander’sCEO,hasaskedtospeakwithyouabouttwo
concerns:liquidityriskandcreditrisk.
(a)(2points)Describetheformsofliquidityriskfacedbyinsurancecompaniesand
theimportanceofmaintainingadequateliquidity.
(b)(1point)CommentonZoolander’scurrentliquidityposition.
(c)(4points)Lyonisconcernedwithadropinthequalityofthebondportfolio.He
asksyoutobuildamodeltoquantifythepotentialexposureoverthenextyear
duetocreditrisk.Lyonwantsanexpectationaswellasa“worstcasescenario”
basedonaconfidenceintervalof99.
YouhaverecentlybecomefamiliarwiththeCreditMetricsapproachtomodeling
creditrisk.OutlineaplantodevelopamodelforZoolander,includingthemajor
calculationsandassumptionsneeded.
(d)(3points)Lyonwantstoconsidersecuritizationasameansofreducingcreditand
liquidityrisksandasamanagementtool.
ExplaintheadvantagestoZoolanderofsecuritizing:
i.PrivatePlacementBonds
ii.AClosedBlockofInsuranceLiabilities
COURSE8:Fall2005-3-GOTONEXTPAGE
FinanceandEnterpriseRiskManagement;CoreSegment
MorningSession
3.(12points)Yourcompany,NewWestLife,hasbeenseekingexpansionintotheAsian
market.NewWest’sCEOhasnegotiatedajointventureopportunitywithaChinese
firm,OrientLife.
ThejointventurewillsellinvestmentproductstotheexpandingChinesemiddleclass.
Eachofthetwopartnerswillhave50ownershipoftheventure.NewWestwillinvest
$600million,andOrientLifewillinvest$400million.Neitherpartnerwillbeableto
exittheventureduringthefirstfiveyears.
Inaddition,NewWestwillhavetheoption,attheendoffiveyears,tobuyOrientLife’s
shareofthepartnership,for$550million.
Youhaveassessedthatthejointventurehasa50probabilityofincreasinginva

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