问题如下图：请问老师，为什么有缺口就说明discount rate高了呀？折现率高，liability现值就小呀，不是有利于弥补缺口吗
发亮_品职助教 · 2020年03月02日
嗨，爱思考的PZer你好：
“为什么有缺口就说明discount rate高了呀？折现率高，liability现值就小呀，不是有利于弥补缺口吗”
注意，提高折现率并不能弥补缺口，用提高折现率这种方法，不一定能改善Funded status的。
使用这么高的折现率，意味着资产必须要实现这么高的收益才行，否则仅仅提高折现率是无法改善Funded status的。
假设我们用8%这个数，把将来的Liability折现到当期，得到当期的PBO，这就意味着从现在这个时间点来看，PBO会以8%的折现率复利到未来；也就是我们给负债用多大的折现率，也对应着负债往未来复利的增长率是多少。
这样的话，资产一定需要至少实现与负债一样的增长率，才能保证现在现值Cover，终值也Cover。或者才能保证现在的Funded status是多少，将来的缺口才不会进一步变差。
所以如果8%这个折现率，资产的收益率实现不了的话，那说明负债增值比资产快，将来养老金还是有缺口的，并且资产能实现的收益率与8%差的越远，资产负债的缺口的会拉的越大。
所以一般在养老金这里的折现率，我们会使用比较稳健的折现率，例如国债的收益率，那就代表只要资产实现一个国债的收益率，就能保证资产与负债同步增长，养老金缺口不会被进一步拉大，所以这个收益对资产的要求很低，比较容易满足。
或者一般给负债使用的折现率是资产的预期收益率，这就能保证资产与负债实现同步复利，当期是Fully-funded，同步增长之后未来仍然能Fully-funded。
如果给负债的折现率过大，资产无法实现，那就是“人为”降低负债现值，实际上对改善Funded status没有什么用。因为过大的折现率意味着负债以很大的增长率复利，而资产实际无法实现这么高的增值率，所以期初“人为”改善Funded status，将来迟早会变差。
总结下，负债的折现率并不是越高越好，越高的话资产的收益率达不到这个值，资产负债的缺口迟早会暴露，并且越来越大。一般负债的折现率是资产预期能够实现的收益率，代表着资产与负债能实现同步增长、或者如果期初是Underfunded的话，缺口至少不会进一步被拉大。
这道题是这样，首先综合一系列信息，可以判断出Pension是Below average的risk tolerance，所以我们不能采取风险较高的投资，对应资产无法实现较高的预期收益率，也就对应不能给负债使用较高的折现率；
现在我们已经给负债使用了6%的折现率，发现资产负债仍然是Underfunded，并且除了已有的deficit，当前资产的实际投资收益是负数（Investment losses），那就说明已实现的资产收益率更低，负债的折现率更不能使用6%的折现率了，相比资产负收益，这个折现率还是过高。
应该的做法是：资产能实现的收益很低（甚至已实现的为负），那负债的折现率不能使用6%，应该进一步降低折现率。
法律要求Funded ratio要保持在一个线上，进一步降低折现率，充分暴露当前Underfunded状态，就会进一步促使公司补足Contribution达到法律要求线（这个要求我们原版书考纲没涉及，只是为了解释）。
假设继续使用6%的折现率，那Funded status看起来还OK，不需要公司进一步补足Contribution，但是资产实际能实现的收益还为负，那实际上会进一步扩大Under-funded状况，所以继续使用6%的折现率不合适。
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NO.PZ2019100901000014 问题如下 anna Mark is the chief financiofficer of Antiliaro, a relatively mature textile proction company heauarterein Italy. All of its revenues come from Europe, but the company is losing sales to its Asicompetitors. Earnings have been stea but not growing, anthe balansheet htaken on more in the past few years in orr to maintain liquity. Mark reviews the following facts concerning the company’s finebenefit () pension plan:●The plcurrently h€1 billion in assets anis unrfun€100 million in relation to the projectebenefit obligation (PBO) because of investment losses.●The company to te hma regulcontributions.●The average employee age is 50 years, anthe company hmany retirees owing to its longevity.●The ration of the plan’s liabilities (whiare all Europe base is 10 years.●The scount rate applieto these liabilities is 6%.●There is a high correlation between the operating results of Antiliaro anpension asset returns.termine whether the risk toleranof the plis below average or above average. Justify your response with two reasons. the plis below average 答案说这个pension用了一个aggressive 的 scount rate。请问这个aggressive 是怎么判断出来的？题目中给了ration of liability是10年，请问这个条件对risk toleran有影响么？
NO.PZ2019100901000014 问题如下 anna Mark is the chief financiofficer of Antiliaro, a relatively mature textile proction company heauarterein Italy. All of its revenues come from Europe, but the company is losing sales to its Asicompetitors. Earnings have been stea but not growing, anthe balansheet htaken on more in the past few years in orr to maintain liquity. Mark reviews the following facts concerning the company’s finebenefit () pension plan:●The plcurrently h€1 billion in assets anis unrfun€100 million in relation to the projectebenefit obligation (PBO) because of investment losses.●The company to te hma regulcontributions.●The average employee age is 50 years, anthe company hmany retirees owing to its longevity.●The ration of the plan’s liabilities (whiare all Europe base is 10 years.●The scount rate applieto these liabilities is 6%.●There is a high correlation between the operating results of Antiliaro anpension asset returns.termine whether the risk toleranof the plis below average or above average. Justify your response with two reasons. the plis below average NO.PZ2019100901000014问题如下anna Mark is the chief financiofficer of Antiliaro, a relatively mature textile proction company heauarterein Italy. All of its revenues come from Europe, but the company is losing sales to its Asicompetitors. Earnings have been stea but not growing, anthe balansheet htaken on more in the past few years in orr to maintain liquity. Mark reviews the following facts concerning the company’s finebenefit () pension plan:●The plcurrently h€1 billion in assets anis unrfun€100 million in relation to the projectebenefit obligation (PBO) because of investment losses.●The company to te hma regulcontributions.●The average employee age is 50 years, anthe company hmany retirees owing to its longevity.●The ration of the plan’s liabilities (whiare all Europe base is 10 years.●The scount rate applieto these liabilities is 6%.●There is a high correlation between the operating results of Antiliaro anpension asset returns.termine whether the risk toleranof the plis below average or above average. Justify your response with two reasons.the plis below average老师好，我的回答如下，请批改The risk toleranof the plis below average, because the plnow is unrfun€100 million in relation to the projectebenefit obligations. For plan, if the funstatus is unrfun then the risk toleranshoulmore prunt anbelow average. Besis, there is a high correlation between the operating results of Antiliaro anpension asset returns, therefore above average risk toleranis not appropriate. 这种回答能拿满分吗？谢谢
NO.PZ2019100901000014 问题如下 anna Mark is the chief financiofficer of Antiliaro, a relatively mature textile proction company heauarterein Italy. All of its revenues come from Europe, but the company is losing sales to its Asicompetitors. Earnings have been stea but not growing, anthe balansheet htaken on more in the past few years in orr to maintain liquity. Mark reviews the following facts concerning the company’s finebenefit () pension plan:●The plcurrently h€1 billion in assets anis unrfun€100 million in relation to the projectebenefit obligation (PBO) because of investment losses.●The company to te hma regulcontributions.●The average employee age is 50 years, anthe company hmany retirees owing to its longevity.●The ration of the plan’s liabilities (whiare all Europe base is 10 years.●The scount rate applieto these liabilities is 6%.●There is a high correlation between the operating results of Antiliaro anpension asset returns.termine whether the risk toleranof the plis below average or above average. Justify your response with two reasons. the plis below average below average.osing sales, Earnings have been stea but not growing, more bt, unrfun plan, employee age is 50 years, anthe company hmany retirees owing to its longevity. The ration of the plan’s liabilities is not long, The scount rate applieto these liabilities is high, high correlation between the operating results of Antiliaro anpension asset returns.
NO.PZ2019100901000014 问题如下 anna Mark is the chief financiofficer of Antiliaro, a relatively mature textile proction company heauarterein Italy. All of its revenues come from Europe, but the company is losing sales to its Asicompetitors. Earnings have been stea but not growing, anthe balansheet htaken on more in the past few years in orr to maintain liquity. Mark reviews the following facts concerning the company’s finebenefit () pension plan:●The plcurrently h€1 billion in assets anis unrfun€100 million in relation to the projectebenefit obligation (PBO) because of investment losses.●The company to te hma regulcontributions.●The average employee age is 50 years, anthe company hmany retirees owing to its longevity.●The ration of the plan’s liabilities (whiare all Europe base is 10 years.●The scount rate applieto these liabilities is 6%.●There is a high correlation between the operating results of Antiliaro anpension asset returns.termine whether the risk toleranof the plis below average or above average. Justify your response with two reasons. the plis below average 关于这道题可以答的点很多，都能证明是below averagethe risk toleranof the plis below average. because the earning of company hnot grown with less strong finance.the pension plis unrfune to investment losses, whibrings lower risk tolerance.the average employee age is 50 years, the pension asset neeenough liquity to meet future benefit payment, whimakes a lower risk tolerance.the other, a high correlation between the operating results of Antiliaro anpension asset returns makes risk toleranbelow average. 这样答可以不？
NO.PZ2019100901000014 问题如下 anna Mark is the chief financiofficer of Antiliaro, a relatively mature textile proction company heauarterein Italy. All of its revenues come from Europe, but the company is losing sales to its Asicompetitors. Earnings have been stea but not growing, anthe balansheet htaken on more in the past few years in orr to maintain liquity. Mark reviews the following facts concerning the company’s finebenefit () pension plan:●The plcurrently h€1 billion in assets anis unrfun€100 million in relation to the projectebenefit obligation (PBO) because of investment losses.●The company to te hma regulcontributions.●The average employee age is 50 years, anthe company hmany retirees owing to its longevity.●The ration of the plan’s liabilities (whiare all Europe base is 10 years.●The scount rate applieto these liabilities is 6%.●There is a high correlation between the operating results of Antiliaro anpension asset returns.termine whether the risk toleranof the plis below average or above average. Justify your response with two reasons. the plis below average It is below average. The average employee age is 50 years ol whimeans there are a lot of employees are going to retire soon, anthe liquity nee is high.The is unrfun 是不是得太少了？