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Time allowed: Three hours |
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来源：www.21ks.net 作者：佚名 更新时间：2008-5-27 15:59:11 |
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Faculty of Actuaries Institute of Actuaries
ADVANCED CERTIFICATE IN DERIVATIVES:
FURTHER MATHEMATICS, PRINCIPLES AND PRACTICE
Examination Paper
April 1999
Time allowed: Three hours
INSTRUCTIONS TO THE CANDIDATE
1. You have 15 minutes at the start of the examination in which to read the questions. You
are strongly encouraged to use this time for reading only but notes may be made. You
then have three hours to complete the paper.
2. You must not start writing your answers in the booklet until instructed to do so by the
supervisor.
3. Write your surname in full, the initials of your other names and your Candidate’s
Number on the front of the answer booklet.
4. Mark allocations are shown in brackets.
5. Attempt all 6 questions, beginning your answer to each question on a separate sheet.
AT THE END OF THE EXAMINATION
Hand in BOTH your answer booklet and this question paper.
In addition to this paper you should have available
actuarial tables, derivatives formulae sheet and an
electronic calculator.
© Faculty of Actuaries
ACiD/A99 © Institute of Actuaries
ACiD—2
1 (i) Outline three methods by which an investment bank can reduce the risk of
default in a derivatives contract and comment on any problems associated with
each method. [9]
(ii) Some financial institutions which do not have a “AAA” rating from a credit
rating agency have set up special operating subsidiaries with a “AAA” credit
rating for the purpose of trading derivatives.
Describe the characteristics of such subsidiaries which allow them to achieve a
“AAA” credit rating despite the fact that the parent company does not have a
“AAA” credit rating. [5]
(iii) A life assurance company holds an unquoted bond issued by a multinational
pharmaceutical company.
To hedge against the risk of default, the investment manager has bought a
credit derivative from a bank. Under the terms of the credit derivative, the
bank will take delivery of the bond and pay the life insurance company the par
value of the bond in the event that the pharmaceutical company fails to meet its
interest or capital repayment obligations on any of its publicly quoted bonds.
Describe briefly any potential weaknesses inherent in this particular credit-risk
hedge. [2]
[Total 16]
2 (i) You are the treasurer of a Japanese bank. Your bank is trying to find ways to
improve the low returns now available from Yen deposits, and wishes to
purchase exotic currency options to enhance the return by expressing views on
future movements in both the Yen-$ spot rate itself (currently ¥112) and the
volatility of that rate. After a recent sharp fall in the Yen-$ spot rate due to US
dollar weakness, option implied volatility is at an historic high.
Describe with reasons, a possible type of exotic optionwhich you could
purchase and which would be best suited to each of the three following
scenarios:
(a) The bank is going to receive a stream of US$ payments which must be
converted to Yen. You want to guarantee a minimum average
exchange rate to Yen throughout the next 12 months at the lowest cost.
(b) You expect that the US dollar will continue to weaken over the next six
months, but that most of the move has now happened and the last “leg”
towards ¥100 will be resisted by the authorities.
ACiD—3 PLEASE TURN OVER
(c) You think that the US$ has now “fo[1] [2] [3] 下一页 |
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