全球各国乡亲父老们，赶紧来高顿网校冒个泡哦。北美精算师考试大纲——SOA真题November2003Course8F（2），已为大家准备好了。
　　n be purchased or sold costlessly and instantaneously, and there are no
　　bankruptcy costs.
　　?  Corporations can issue only two types of securities, risky equity and risk- free debt.
　　?  Both individuals and corporations can borrow or lend at the risk- free interest rate.
　　?  Investors have homogeneous expectations about the future stream of corporate
　　profits.
　　?  There is no growth, so all cash flow streams are perpetuities.
　　?  All corporations can be classified into one of several “equivalent return classes” such
　　that the returns on shares of all firms in that class are proportional to, and perfectly
　　correlated with, all other firms of that class.
　　You are provided with the following information:
　　Nougat Butterscotch Caramel Fudge
　　Expected return 10% 10% 10% 10%
　　Expected operating profits 100,000 200,000 200,000 200,000
　　Debt outstanding @ 5% interest 0 0 1,000,000 100,000
　　Shares of Stock 50,000 40,000 20,000 38,000
　　Financing plans for acquisition
　　of Nougat N/A 100% equity 50% debt,
　　50% equity
　　Not yet
　　determined
　　COURSE 8: Fall 2003 - 13 - GO ON TO NEXT PAGE
　　Finance
　　Afternoon Session
　　13. Continued
　　(a) (3 points) Demonstrate whether Butterscotch’s shareholders or Caramel’s
　　shareholders will benefit more from the purchase of Nougat. Show your work.
　　(b) (3 points) Adjust the second assumption to assume a corporate tax rate of 25%.
　　Under this assumption demonstrate whether Butterscotch’s shareholders or
　　Caramel’s shareholders will benefit more from the purchase of Nougat. Show
　　your work.
　　(c) (3 points) Explain the reasoning behind the results of (a) and (b).
　　(d) (4 points) Fudge has just finished a promotional agreement with a songwriter.
　　They believe that it will increase their market share with young consumers. This
　　has not yet been announced to the public.
　　Determine how Fudge should fund the acquisition under:
　　(i) The pecking order hypothesis
　　(ii) The signaling theory
　　(e) (2 points) Describe the issues that Fudge might face if it tries to issue only long
　　term debt to fund the acquisition of Nougat.
　　(f) (2 points) Describe the empirical evidence that could explain Caramel’s and
　　Fudge’s current capital structures.
　　COURSE 8: Fall 2003 - 14 - GO ON TO NEXT PAGE
　　Finance
　　Afternoon Session
 
　　14. (9 points) You have been asked to *uate the performance of the managing directors of
　　your bank’s three trading units. You are given the following data from the trading
　　operations:
　　Target RAROC = 30%
　　Fixed Income
　　Trading (FI)
　　Equity Trading
　　(EQ)
　　Money Market
　　Trading (MM)
　　Trading Earnings 100 70 30
　　Utilized CaR 300 250 100
　　Allocated CaR 500 300 100
　　Correlation Matrix Between Trading Unit Returns:
　　FI EQ MM
　　FI 1.0 -0.2 0.3
　　EQ -0.2 1.0 -0.1
　　MM 0.3 -0.1 1.0
　　(a) (2 points) Assess the risk-adjusted performance of the bank and each trading unit
　　assuming perfect correlation among the units. Show your work.
　　(b) (5 points) Assess the risk-adjusted performance of the bank and each trading unit
　　incorporating imperfect correlation effects. Use an appropriate method to allocate
　　diversification benefits. Show your work.
　　(c) (2 points) Evaluate which risk-adjusted measure is best for this purpose.
　　COURSE 8: Fall 2003 15 STOP
　　FINANCE
　　Afternoon Session
 
　　15. (3 points) The CEO of a small public company has asked you to sit on his board. At the
　　first meeting you learn that the company offers a “savings plan” to its employees.
　　Employees contribute after-tax money to this “savings plan”.
　　Individual employee account balances are tracked, but all money in the fund is credited
　　with the same interest rate. The rate credited to the plan is the return on the assets, less
　　the actual expenses incurred. Each January 15 the company declares the credited rate f
　　or
　　the prior year. Employees who terminate receive a lump sum equal to their full account
　　balance within 30 days of termination. For those employees, interest is applied at the
　　prior year’s crediting rate from January 1 to the termination date.
　　You point out that the plan is taking interest rate risk, and, since the plan is not a separate
　　entity, the company is assuming the risk. You suggest hedging this risk.
　　The CEO replies, “Hedging is too expensive! I want to make sure the employees get the
　　highest return possible, and the costs would eat into their returns. Besides, any public
　　company that spends its money to hedge anything is stealing from its shareholders.
　　Business is about risk!”
　　(a) Using the principles of qualitative asset transformation, explain why the savings
　　plan is a financial intermediary.
　　(b) From the shareholders’ point of view, describe the factors the company should
　　consider in *uating whether or not to hedge.
　　**END OF EXAMINATION**
　　AFTERNOON SESSION
　　高顿网校之旷世名言汇总：青年人的朝气，是社会可贵的东西，没有它，不能前进；老年人的经验、持重，也是可贵的东西，没有它，社会没有基础。——谢觉哉