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muamadove · 2022年05月03日

怎么判读discount rate是高还是低

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.

解释:

the DB plan is below average



怎么判读discount rate是高还是低?6%是跟国债收益率对比吗?

还有考试的时候需要写到几点才能得高分,需要全部点都列出来吗,如果列的点有错会扣分吗

1 个答案

lynn_品职助教 · 2022年05月05日

嗨,爱思考的PZer你好:


1、“怎么判断discount rate是高还是低?


我们discount rate一般是资产的预期收益率比较合适,Government yield也有。


这道题中,养老金是Under-funded。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高了,原版书(讲义67页)有道例题,用的是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。


2、“6%是跟国债收益率对比吗?


不是和国债收益率比的,一般使用资产的预期收益率是合适的。使用Government yield也可以。


3、“还有考试的时候需要写到几点才能得高分,需要全部点都列出来吗,如果列的点有错会扣分吗


看分值,一般2-3点足够了,列错的不会倒扣分,但是阅卷不会把列的所有点都看一遍,挑对的给分。我们尽量还是写有把握的,另外一个原因是时间很紧张,我们不要在一道题浪费太多时间。

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