NO.PZ2023010409000014
问题如下：
Dianna Mark is the chief financialofficer of Antiliaro, a relatively mature textile production companyheadquartered in Italy. All of its revenues come from Europe, but the companyis losing sales to its Asian competitors. Earnings have been steady but notgrowing, and the balance sheet has taken on more debt in the past few years inorder to maintain liquidity. Mark reviews the following facts concerning thecompany’s defined benefit (DB) pension plan:
The DB plan currently has €1 billion in assets and is underfunded by€100 million inrelation to the projected benefit obligation (PBO) because of investmentlosses.
The company to date has made regular contributions.
The average employee age is 50 years, and the company has manyretirees 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 ofAntiliaro and pension asset returns.
Determine whetherthe risk tolerance of the DB plan is below average or above average. Justifyyour response with two reasons.
解释：
The pension fund’s risk tolerance is below average. First, it has high liquidity demand because of the short duration and the old age of employees involving in this plan. Second, the pension fund is now underfunded and unlikely to be improved recently as the result of pension asset operation is highly correlated to a company suffering from sale decrease.
