融跃教育

jason    2020-10-06 17:56

致精进的你:

同学，答案选A哈，The change in the pension fund’s surplus (ΔS) for the year 2015 is equal to the ending surplus (S1) at the end of 2015 less the initial surplus (S0) at the end of 2014. That is, ΔS = S1 – S0. The initial surplus is calculated as S0= A0 – L0 = 650 – 320 = USD 330 million, where A0 = the firm’s initial assets and L0 = the firm’s initial liabilities. Next we have to calculate S1, the surplus at the end of 2015. Given the 40% decline in the equity market, the new level of assets A1 at the end of 2015 is equal to: A1 = (1 – 0.4) * 650 = USD 390 million. Since the percentage change in liability value = – DM * Δy, where DM = modified duration = 13; and Δy = change in yield = –1.8%, then the new level of liabilities L1 at the end of 2015 can be calculated as: L1 = [1 – (DM * Δy)] * L0 = (1 – 13*（-1.8%）) * 320 = USD 394.88 million Thus, the ending surplus for 2015 = S1 = A1 – L1 = 390 – 394.88245.12 = USD -4.88million. Therefore the change in surplus for 2015 = ΔS = S1 – S0 = -4.88 – 330 = USD –334.88 million (which implies the pension fund is actually in a deficit situation at the end of 2015).

The real talent is resolute aspirations.
真正的才智是刚毅的志向。