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麻烦解释一下A选项

* 问题详情，请查看题干

NO.PZ202206210200000105

问题如下：

Which of the following would Browne least likely consider a source of risk for the Tucker pension plan?

选项：

A.Workforce characteristics B.The sponsor’s financial health C.Common risk exposures between the sponsor and the fund

解释：

Solution

B is correct. The plan sponsor holds an investment-grade credit rating, and there are no indications of declining financial health.

A is incorrect. There are a substantial number of retirees, and the active employees are older, with long service records, suggesting many are nearing retirement. The current asset allocation is both illiquid in nature (newly launched private equity funds and directly owned undeveloped real estate) and volatile in value (small-cap equities). Given the workforce characteristics, the fund should likely be moving to a more current income-producing allocation and one that would reduce surplus volatility.

C is incorrect because 18%–19% of the fund’s assets are invested in the sponsor’s common stock. If the sponsor’s financial health declines, the value of fund assets will decline at precisely the same time the sponsor is required to make additional contributions. Because it is less likely to be able to do so when it is in poor financial health, this situation creates a greater risk of insolvency than if that allocation were in different assets.

题目问哪个是B同学最不会考虑的source of risk。因为该公司有160名退休员工，在职员工基本都是fully vested,所以劳动力特征是很明显的，不会发生重大变动，所以我选了A。

B选项的解释我不太能接受，因为公司的经营状况是会时常发生变化的，当前评级高不代表以后能一直健康运转，为什么财务状况可以不考虑呢？

嗨，爱思考的PZer你好：

麻烦解释一下A选项

B选项的解释我不太能接受，因为公司的经营状况是会时常发生变化的，当前评级高不代表以后能一直健康运转，为什么财务状况可以不考虑呢？

这是官网的case题，其实同学的逻辑是OK的，我们拿到题目就是应该这么分析。

官网的题目出得不太好，但是可以给我们传达一个重要信息——读题、注意细节，这道题也是。

A选项：同学认为在职员工基本都是fully vested，所以劳动力特征是很明显的，不会发生重大变动，这只是其中的一个方面。没有新员工加入不变化，但也意味着马上会开始给退休员工支付，这个特征直接指向流动性，同学可以想一想现实生活中的养老金也是这样。

有相当数量的退休人员，在职员工年龄较大，服务记录较长，表明许多人即将退休。

当前的资产配置本质上是流动性低(新推出的 private equity funds和直接拥有的未开发房地产) ，加上波动大(小盘股)。这个风险其实是挺大的。

B选项结合题目这两段来解答：

Browne asks Miller for some advice on developing a proposal for a potential client, the defined benefit pension plan for Tucker Manufacturing. Tucker is a publicly traded firm whose stock is a part of the Russell 2000 Index. The firm has been in business for 82 years and has a Fitch credit rating of BBB+.

第一段主要是说T是上市公司，股票属于Russell 2000指数，BBB+的 credit rating。

The asset allocation of the portfolio is

37% publicly traded equity, mostly small-cap growth equities, about half of which is in Tucker common stock, which is considered a growth stock and pays no dividends;

29% private equity, invested in two recently launched funds; and

34% directly owned real estate, consisting of vacant land that is expected to be developed in 15–20 years.

这一段的意思是当前DB plan的投资是：

· 37%在上市股票上，主要是小市值、增长型股票；同时，一半的股票都投资在本公司的股票上，他们公司的股票是增长型，没有分红。从这句话可以判断，这个Asset投资了本公司股票，投资与公司的Correlation过高，导致了DB Plan的风险承受能力下降。

· 29%投资最新私募股票上；

· 34%投资在房地产上，包括空置的土地、计划在15~20年后开始建设。

综合来看可以判断Sponsor hold investment-grade credit rating，并且可预期的未来不会有财务风险，选B。

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麻烦解释一下A选项

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麻烦解释一下A选项

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