NO.PZ2023010409000026
问题如下:
Foresight International
Assurance is an international multiline insurance conglomerate. Under its
overall strategic financial plan, it computes the annualized standard deviation
of returns on investment assets as 5.0% and on liabilities as 2.5%. The bulk of
its liabilities are constituted by the net present value of expected claims
payouts. The correlation between asset and liability returns is therefore a
very low 0.25. Foresight’s common equity to financial assets ratio is 20.0%.
What is the
standard deviation of changes in the value of Foresight’s shareholder
capitalization?
解释:
We use Equation 9 recognizing that A ÷ E = 1/0.20 = 5; (A ÷ E) –1 = 4;
and the correlation between asset and liability value changes (ρ)= 0.25.
the variance of shareholders’ capital value changes:
忘记了考的知识点,求ppt