精算師SOA歷年真題:November2004Course8F
發(fā)布時間：2014-02-26 共5頁
3. (11 points) In a recent private conversation with you, Bill Buck, Zoolander’s new 2nd
Vice President of Enterprise Risk Management, expressed his concern about Zoolander’s
current compensation structure and top management’s frequent absences.
He added, “I fear being caught in a situation similar to Enron or Barings. With the
shareholders, Board of Directors, rating agencies and management all monitoring those
companies, why wasn’t anyone aware of the problems before it was too late?”
(a) (2 points) Identify the items in Zoolander’s current compensation structure that
create improper incentives and explain how they could impact the company’s
financials.
(b) (1 point) Describe the concerns a shareholder may have with the structure of
Zoolander’s compensation system.
(c) (4 points) Describe the roles that the shareholders, Board of Directors, rating
agencies, and management should each play to ensure that a company does not
fail.
(d) (4 points) Identify areas where Zoolander’s shareholders, Board of Directors,
rating agency and management are not meeting their obligations.
COURSE 8: Fall 2004 - 5 - GO TO NEXT PAGE
Finance and Enterprise Risk Management; Core Segment
Morning Session
4. (13 points) You are the CFO for Van Halbach Airlines. Research has determined that
adding routes to Nebraska would be very profitable if fuel costs remain level or drop.
Financing of 100 million is needed to add the additional routes.
Assume the following:
• Only 2 scenarios exist for the next year: fuel costs remain level or they increase.
• The value of the additional routes in 1 year is 250 million if fuel costs remain
level.
• The value of the additional routes in 1 year is 30 million if fuel costs increase.
• Risk-free rate is 3%.
• Cost of Equity Capital is 10%.
• Cost of Debt Capital is 6%.
• Probability that fuel costs remain level is 50%.
• Risk neutral probability that fuel costs remain level is 60%.
(a) (4 points) Describe advantages and disadvantages of financing the route
expansion through each of the following methods:
• Equity
• Public debt
• Private debt
• Hybrid debt
(b) (6 points) Calculate the value to Van Halbach of the additional routes under each
of the following scenarios. Show your work.
• The financing is from the issuance of common stock
• The financing is evenly split between common stock issuance and
public debt
• The financing is from public debt
(c) (2 points) Recommend a financial structure for the route expansion based on your
analysis in (a) and (b) above. Support your position.
(d) (1 point) Assume derivatives exist to hedge the price of fuel. Explain whether
your recommendation in (c) would change. Support your position.
COURSE 8: Fall 2004 - 6 - GO TO NEXT PAGE
Finance and Enterprise Risk Management; Core Segment
Morning Session
5. (9 points) You have been asked to perform an analysis of the ALM function of Murray
Life. Below is information concerning the assets and liabilities of Murray Life:
Assets Market Value Effective Duration
Bonds 7.0 6.0
Mortgage Backed Securities 4.5 4.8
Stocks (Preferred & Common) 2.5 0.0
Mortgage Loans 1.0 7.4
Short-Term Bonds 3.0 1.0
Total 18.0
Liabilities Fair Value Effective Duration
Legacy SPDA 7.0 3.5
Whole Life Insurance 3.0 8.6
Term Life Insurance 5.0 4.2
Total 15.0
Murray Life has added a new SPDA product which is not included in the above analysis.
The new SPDA has a liability fair value of 2.0 and an effective duration of 2.5. The
assets backing this liability are yet to be invested. The available investment choices are
limited to long-term bonds with an effective duration of 8.0 and short-term bonds with an
effective duration of 1.0.
(a) (3 points) For each of i, ii, and iii, provide the allocation of long-term and shortterm
bonds which satisfy the stated ALM goal:
i. Duration matching of the new SPDA’s assets and liabilities
ii. Holistic matching of the asset duration with the liability duration
iii. Holistic minimization of the effective duration of surplus
(b) (2 points) Describe the limitations of each of the approaches in (a).
(c) (4 points) Describe other ALM and non-ALM approaches to protect Murray Life
against general investment risk.
COURSE 8: Fall 2004 - 7 - GO TO NEXT PAGE
Finance and Enterprise Risk Management; Core Segment
Morning Session
