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    Examination: Subject CA1 Core Applications Concepts Paper 1 (Assets)

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    Saad Malik
    CA1 Actuarial Risk Management IFOA Latest Past exams, Examiner reports. The aim of the Actuarial Risk Management subject is that upon successful completion, the candidate should understand strategic concepts in the management of the business activities of financial institutions and programmes, including the processes for management of the various types of risk faced, and be able to analyse the issues and formulate, justify and present plausible and appropriate solutions to business problems.

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    Examination: Subject CA1 Core Applications Concepts Paper 1 (Assets)

    Uploaded by

    Saad Malik
    18 views3 pages
    CA1 Actuarial Risk Management IFOA Latest Past exams, Examiner reports. The aim of the Actuarial Risk Management subject is that upon successful completion, the candidate should understand strategic concepts in the management of the business activities of financial institutions and programmes, including the processes for management of the various types of risk faced, and be able to analyse the issues and formulate, justify and present plausible and appropriate solutions to business problems.

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    FandI CA11 200509 Exampaper

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    CA1 Actuarial Risk Management IFOA Latest Past exams, Examiner reports. The aim of the Actuarial Risk Management subject is that upon successful completion, the candidate should understand strategic concepts in the management of the business activities of financial institutions and programmes, including the processes for management of the various types of risk faced, and be able to analyse the issues and formulate, justify and present plausible and appropriate solutions to business problems.

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    © All Rights Reserved
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    18 views3 pages

    Examination: Subject CA1 Core Applications Concepts Paper 1 (Assets)

    Uploaded by

    Saad Malik
    CA1 Actuarial Risk Management IFOA Latest Past exams, Examiner reports. The aim of the Actuarial Risk Management subject is that upon successful completion, the candidate should understand strategic concepts in the management of the business activities of financial institutions and programmes, including the processes for management of the various types of risk faced, and be able to analyse the issues and formulate, justify and present plausible and appropriate solutions to business problems.

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    © All Rights Reserved
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    of 3

    Faculty of Actuaries Institute of Actuaries

    EXAMINATION

    5 September 2005 (am)

    Subject CA1 Core Applications Concepts

    Paper 1 (Assets)

    Time allowed: Three hours

    INSTRUCTIONS TO THE CANDIDATE

    1. Enter all the candidate and examination details as requested on the front of your answer
    booklet.

    2. 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.

    3. You must not start writing your answers in the booklet until instructed to do so by the
    supervisor.

    4. Mark allocations are shown in brackets.

    5. Attempt all 8 questions, beginning your answer to each question on a separate sheet.

    6. Candidates should show calculations where this is appropriate.

    AT THE END OF THE EXAMINATION

    Hand in BOTH your answer booklet, with any additional sheets firmly attached, and this
    question paper.

    In addition to this paper you should have available the 2002 edition of the
    Formulae and Tables and your own electronic calculator.

    Faculty of Actuaries
    CA11 S2005 Institute of Actuaries
    1 Describe the circumstances under which money market investments may be
    temporarily unattractive to investors. [4]

    2 Discuss the features of a corporate bond portfolio that would be taken into account in
    setting its investment performance benchmark. [6]

    3 List the items that should be included in a project s written strategy. [7]

    4 Discuss the steps that should be followed to determine the fair value of a large
    portfolio of bonds with low liquidity. [8]

    5 (i) State how the expectations theory explains the shape of the yield curve. [2]

    (ii) Describe three other theories that explain deviations from the expected shape
    of the yield curve. [6]

    (iii) Explain why a corporate bond might have a significantly higher yield than a
    government bond of the same duration. [5]
    [Total 13]

    6 A charitable trust has a portfolio of assets, mainly invested in conventional


    government bonds and equities. The only liability of the trust is to pay an annual
    prize for the best new published book. The prize money has traditionally increased
    each year in line with inflation.

    (i) Describe two methods of valuing the trust s assets and the implications of each
    for the valuation of the liabilities. [6]

    The chairman of the trust has expressed an interest in moving assets from
    conventional bonds into index-linked bonds.

    (ii) State the formula for deriving the expected return on conventional bonds from
    the return on index-linked bonds. Define any symbols used. [2]

    (iii) Discuss the circumstances in which it would be appropriate for the trust to
    choose index-linked bonds over conventional bonds. [8]
    [Total 16]

    CA11 S2005 2
    7 A city council is considering building a new tourist and leisure complex which it
    hopes will appeal to visitors to the city as well as to local residents.

    (i) Discuss the steps necessary to achieve an effective identification of the risks
    facing the project. [11]

    (ii) State the major risks associated with this project. [3]

    (iii) Discuss how each of the risks identified in part (ii) might be mitigated. [6]
    [Total 20]

    8 A developed country has moved into recession in the last year. In order to boost
    growth the central bank has lowered short-term interest rates substantially over the
    last few months.

    (i) Discuss how economic growth, the exchange rate, and inflation in this country
    might develop over the next two years. [15]

    (ii) Discuss how these developments are likely to affect the level of equity and
    commercial property markets. [11]
    [Total 26]

    END OF PAPER

    CA11 S2005 3

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