NO.PZ202301040900001302
问题如下：
Frank Smit, CFA, is CIO of
ADSE. All of ADSE’s revenues come from Europe. Product demand has been strong
in the past few years, although it is highly cyclical. The company has rising
earnings and a strong (low debt) balance sheet. ADSE is a relatively young
company. Its DB pension plan has no retired employees. This essentially
active-lives plan has €100 million in assets and an €8 million surplus in
relation to the PBO. Several facts concerning the plan follow:
The duration of the plan’s
liabilities (which are all Europe-based) is 20 years.
The discount rate applied to these liabilities is 6 percent.
The average age of ADSE’s workforce is 39 years.
(2) Because of excellent recent investment results, ADSE has not needed to make contributions to the pension fund in the 2 most recent years. Smit considers it very important to maintain a plan surplus in relation to PBO. Because an €8 m surplus will be an increasingly small buffer as plan liabilities increase, Smit decides that maintaining plan funded status, stated as a ratio of plan assets to PBO at 100% or greater, is his top priority. State an appropriate risk objective for ADSE.
选项：
解释：
Given Smit considered it very important to maintain a plan surplus in relation to PBO, an appropriate risk objective for ADSE relates to shortfall risk with respect to the plan’s funded status falling below 100 percent.
ADSE may want to minimize the probability that funded status falls below 100%, or it may want the probability that funded status falls below 100% to be less than or equal to 10%. If a plan surplus is maintained, ADSE may experience more years in which it does not need to make a contribution.
Indeed, a major motivation for maintaining a plan surplus is to reduce the contributions ADSE needs to make in the future. As such, another relevant type of risk objective would be to minimize the present value of expected cash contributions.
这里说的The discount rate applied to these liabilities is 6 percent可以直接用吗？就是直接说target return就是6%
