如下则是北美精算师考试SOA——历年真题November2001Course8R（一），好好看大纲，之后痛快的去娱乐吧。
　　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.
　　Thegeneralaccountannuitybusinessis100%GICs.
　　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.
　　Eachofthetwopartnerswillhave50%ownershipoftheventure.NewWestwillinvest
　　$600million,andOrientLifewillinvest$400million.Neitherpartnerwillbeableto
　　exittheventureduringthefirstfiveyears.
　　Inaddition,NewWestwillhavetheoption,attheendoffiveyears,tobuyOrientLife’s
　　shareofthepartnership,for$550million.
　　Youhaveassessedthatthejointventurehasa50%probabilityofincreasinginvalueto
　　$2,150millionattheendoffiveyearsanda50%probabilityofdecreasinginvalueto
　　$600millionattheendoffiveyears.Therearenointerimcashflowsexpectedinthe
　　fiveyearperiod.
　　Youaregiventhefollowingdata:
　　NewWestLifeweightedaveragecostofcapital(WACC):k=10%
　　NewWestLifefeBeta:βNW=1.2
　　JointVentureBeta:βJV=0.8
　　MarketReturn:rm=9%
　　Risk-freeRate:rf=4%
　　TheCEOofNewWesthasaskedyoutoreviewthejointventureopportunity.
　　(a)Determinetheappropriaterisk-adjusteddiscountratetousetoassessthis
　　opportunity.
　　(b)Assesstheopportunityusinganetpresentvalue(NPV)approach.
　　(c)Re-*uatethejointventureusingacontingentclaimsanalysis(CCA)approach.
　　(d)ExplaintotheCEOwhytheNPVandCCAresultsaredifferent.
　　(e)RecommendtotheCEOwhetherornotNewWestshouldpursuethis
　　opportunity.Justifyyourresponse.
 
　　COURSE8:Fall2005-4-GOTONEXTPAGE
　　FinanceandEnterpriseRiskManagement;CoreSegment
　　MorningSession
　　高顿网校之为人处世：一只鸡蛋可以画无数次，一场爱情能吗。 —— 达芬奇