NO.PZ2023010409000026
问题如下:
Foresight InternationalAssurance is an international multiline insurance conglomerate. Under itsoverall strategic financial plan, it computes the annualized standard deviationof returns on investment assets as 5.0% and on liabilities as 2.5%. The bulk ofits liabilities are constituted by the net present value of expected claimspayouts. The correlation between asset and liability returns is therefore avery low 0.25. Foresight’s common equity to financial assets ratio is 20.0%.
What is thestandard deviation of changes in the value of Foresight’s shareholdercapitalization?
解释:
We use Equation 9 recognizing that A ÷ E = 1/0.20 = 5; (A ÷ E) –1 = 4;
;
;
and the correlation between asset and liability value changes (ρ)= 0.25.
the variance of shareholders’ capital value changes:
是减去correlation的部分而不是加上