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王沛 · 2024年01月16日

这题的答案意思是below和above两种情形都可以吗?

NO.PZ2023010409000014

问题如下:

Dianna Mark is the chief financial officer of Antiliaro, a relatively mature textile production company headquartered in Italy. All of its revenues come from Europe, but the company is losing sales to its Asian competitors. Earnings have been steady but not growing, and the balance sheet has taken on more debt in the past few years in order to maintain liquidity. Mark reviews the following facts concerning the company’s defined benefit (DB) pension plan:

Ÿ The DB plan currently has 1 billion in assets and is underfunded by 100 million in relation to the projected benefit obligation (PBO) because of investment losses.

Ÿ The company to date has made regular contributions.

Ÿ The average employee age is 50 years, and the company has many retirees owing to its longevity.

Ÿ The duration of the plans liabilities (which are all Europe based) is 10 years.

Ÿ The discount rate applied to these liabilities is 6%.

Ÿ There is a high correlation between the operating results of Antiliaro and pension asset returns.

Determine whether the risk tolerance of the DB plan is below average or above average. Justify your response with two reasons.

解释:

这题的答案意思是below和above两种情形都可以吗?

1 个答案

lynn_品职助教 · 2024年01月16日

嗨,从没放弃的小努力你好:


这题的答案意思是below和above两种情形都可以吗?


不是,是below average,这种题放到大题里,一般会第一问让选择,就是画个圈,第二问让justify。


Underfunded的时候,可以采用更加激进的投资,如讲义下红框。但是如果是这种情况的话,题目一定要出现以下的描述:“基金想要通过投资来弥补缺口,企业无法资助更多的Contribution”。那在这种情况下,是有可能Underfunded时,采取更加激进的投资。


结合这道题的话,这道题没有出现以上的描述,可以判断养老金的缺口无需用更激进的投资补充,所以初步判断这道题:Underfunded,采取更加保守的投资。


第二个是本题的企业有稳定盈利(Earnings have been steady),且企业一直在缴纳Contribution(the company to date has made regular contributions.),那说明就算这道题的基金采取了保守的投资,但养老金的缺口可以用其他途径填补,如企业的利润(Contribution)来补足。所以Underfunded时,不采取激进投资完全OK。


第三点就是,判断Below average还是Above average时,一定要综合结合题目的各种信息,从其他信息来看(企业盈利与养老金有较高Correlation,企业员工年龄较大,基金有投资亏损)等,以上的信息都可以帮助证实是Underfunded采用保守的策略。

那综合一下,本题就是Below average。


----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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