NO.PZ2019100901000014
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:
●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.
●The company to date has made regular contributions.
●The average employee age is 50 years, and the company has many retirees owing to its longevity.
●The duration of the plan’s liabilities (which are all Europe based) is 10 years.
●The discount rate applied to these liabilities is 6%.
●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.
选项:
解释:
the DB plan is below average
之前老师关于这题回答过如何判断6%是不是过高的折现率,还是不太明白怎么判断的,以及为什么养老金风险承受能力下降,就要用更低的r,这样企业PV(liability)不是更大?
原回答:
因为这道题这个养老金,已经是Under-funded的状态了。第一点是本身在Under-funded的状态下,养老金的风险承受能力下降,应该使用的Discount rate更低才对;第二点是使用6%的Discount rate养老金依然是Under-funded状态,说明养老金本身的缺口比较大,6%的Discount并不合适。
绝对数字上没法判断是否Aggressive,咱们原版书有道例题,讲义67页,那里也是用了6%的折现率,但是完全OK。因为在那道题里养老金是Over-funded的状态。
所以要结合Discount rate与养老金状态来判断。一般是使用了这个Discount rate之后,这个养老金还是Under-funded,那说明这个Discount rate不合适,太高了。