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polucn · 2024年05月11日

这题答案怎么理解

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NO.PZ202206210200000106

问题如下:

Is Browne’s proposed investment objective for the Tucker pension plan most likely appropriate?

选项:

A.Yes B.No, the secondary objectives are incompatible. C.No, the proposed required return is inappropriate.

解释:

Solution

C is correct. The proposed required return is inappropriate. For any defined benefit plan, the required return should take into account the anticipated change in future liability cash flows and the change in valuation of those cash flows. The cash flows are affected by changes in active employee salaries, changes in active employee longevity, and the rate of inflation (retired employees). The valuation of liability cash flows will change as market interest rates change. In general, the required return for plan assets should exceed the discount rate on plan liabilities. The required return specified in the proposal does not reflect appropriate market interest rates used to discount liability cash flows (investment-grade long-term bond yields) and double counts inflation, which is a primary factor in active employee salary increases.

A is incorrect. The proposed required return is inappropriate.

B is incorrect. The secondary objectives are not incompatible. It is common for a plan that is currently overfunded to want to maintain status quo, and it is common to do so by engaging in ways of minimizing the volatility of the surplus. Most funds also act to minimize the likelihood the plan sponsor would have to increase its contributions; indeed, many will take on additional asset risk to increase plan asset expected returns and decrease sponsor expected contributions. Although these objectives are compatible, they will have to be balanced against one another.

看不懂...

1 个答案

lynn_品职助教 · 2024年05月11日

嗨,爱思考的PZer你好:


这道题是官网题中的case,出得不算好。


B选项说第二个目标是矛盾的,其实退休金计划想维持overfunded状态是很正常的,并且会把减少contribution作为目标,这些目标都是相容的。


DB Fund,雇主和员工只约定员工退休后每个月拿确定的退休金(Benefit),所以是养老金将来的Cash outflow是定死的。


但是DB Fund并没有约定员工在职时,雇主需要交多少Contribution,也就是说,DB Fund只约定公司给退休员工发确定数额的退休金,至于员工在职时公司交了多少Contribution是无所谓的。并没有强制公司一定要交Contribution。


那这样的话,实际上意思就是,如果我们Pension plan asset基金运作的好的话,仅仅靠Asset的本金和投资收益就能Cover住养老金负债的话,雇主每年都不用交Contribution也可以运行下去。因此overfunded是好的,第二个目标是相容的,B选项错误。


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