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Posted on Jul 09, 2024

the main thing that I am looking for is the formulas. please include those and I will be able to figure out the rest of

the main thing that I am looking for is the formulas. please include those and I will be able to figure out the rest of the answers, thank you in advance! image text in transcribed

A 5 General Account G B D January 1, 2017 January 1, 2018 January 1, 2019 January 1, 2020 January 1, 2021 (forecast) H Forecast Market Scenario 1: Risk Book Value FY Book ValueFY Book Value TY Book Value FY Value E 2020, Weightings on 2016, 5 millions 2017.5 millions 2018, Smillions 2019.5 millions millions Assets, Scenario 2: Risk Weightings on Assets, 83410 22,746,30 3,525.70 1,099.40 RM400 925.70 24,566.00 3,931.10 1.165.40 817,30 1,027.53 26,776.94 4,068.69 1,221.24 878.60 109945 27,767.69 4.239.57 1.300.23 86103 1.115.95 28.739.56 4,154.78 1,118.62 80075 95.0% 100.0% 95.0% 100.0% 100.0% 95.0% 1000% 95.0N 100 100.0N 7 Liquid Assets 8 -Usted Edities (stock) 9 -Government Bonds 10 - Corporate Bonds (Ass rated 11 Cash & Currencies 12 Money markets funds 13 14 Lower Liquidity Assets 15 - Small Cap Preferred Stocks 16 CAT Bands 17 - Mortgages 18 -Usted Derivatives 19 Other leg Bank Acceptances, etc) 20 21 Low liquidity Assets 22 Real Estate Policy Loans 24 Direct/Private Cody 25 Polley collectibles de carrean 20 1,402.70 644 50 1,554.00 265.00 113.50 1.655.20 618.70 1.099.00 226.00 119.30 1,703.02 626.12 1,468.95 1,906.45 643.03 1.552.68 228.37 1858.79 495.13 1.103:46 184.9 121.12 90.0% 90.ON 90.0 90.0 87.5% 85.0% RS ON 80.ON 80. ON 124,67 11165 3,105.10 1,173.90 22720 378.50 2.887.10 1.217.10 229.50 227.20 2,916.58 1,264) 259.34 229.47 2,950.00 1,27477 281.12 235.61 108.56 522.66 250.20 216.81 BSON 85 ON 75.ON 85.ON 60.0% 70.0% 600M MOON 17904.00 39,8540 44475.24 41,146.37 20 Total 29 Simple avenge return on aset 30 Welged wenige return on ne hesed on 2018 welches 31 We hedge return on amets based on 1Y2020 weights) 32 Overall return on assets, FY 2010 3 Risk capital di 34 Risk capital held, 5 mins 15 is capital cushion (short.5 millions B 38 QUESTIONS: D E 39 1) Calculate shares of book value for each asset class for each year and briefly discuss how these shares change over time. 2) Using risk weightings provided in the Column "G", compute risk capital required, risk capital held and risk capital cushions in each year. Briefly 40 analyze the dynamics and trends in risk capital position of the Insurance Company. 3) Based on (2) above, discuss what are the key risk areas and risk factors that you can identify from this analysis when it comes to risk capital 41 cushions available to the insurer. 4) Now, suppose regulatory authorities decided to tighten capital controls and raised risk weightings (lowered % allowances) on Low and Lower Liquidity instruments/assets as per Column "H". Repeat your analysis for (2) and (3) above. Compare your results to (2) and (3) above. 42 43 44 45 46 A 5 General Account G B D January 1, 2017 January 1, 2018 January 1, 2019 January 1, 2020 January 1, 2021 (forecast) H Forecast Market Scenario 1: Risk Book Value FY Book ValueFY Book Value TY Book Value FY Value E 2020, Weightings on 2016, 5 millions 2017.5 millions 2018, Smillions 2019.5 millions millions Assets, Scenario 2: Risk Weightings on Assets, 83410 22,746,30 3,525.70 1,099.40 RM400 925.70 24,566.00 3,931.10 1.165.40 817,30 1,027.53 26,776.94 4,068.69 1,221.24 878.60 109945 27,767.69 4.239.57 1.300.23 86103 1.115.95 28.739.56 4,154.78 1,118.62 80075 95.0% 100.0% 95.0% 100.0% 100.0% 95.0% 1000% 95.0N 100 100.0N 7 Liquid Assets 8 -Usted Edities (stock) 9 -Government Bonds 10 - Corporate Bonds (Ass rated 11 Cash & Currencies 12 Money markets funds 13 14 Lower Liquidity Assets 15 - Small Cap Preferred Stocks 16 CAT Bands 17 - Mortgages 18 -Usted Derivatives 19 Other leg Bank Acceptances, etc) 20 21 Low liquidity Assets 22 Real Estate Policy Loans 24 Direct/Private Cody 25 Polley collectibles de carrean 20 1,402.70 644 50 1,554.00 265.00 113.50 1.655.20 618.70 1.099.00 226.00 119.30 1,703.02 626.12 1,468.95 1,906.45 643.03 1.552.68 228.37 1858.79 495.13 1.103:46 184.9 121.12 90.0% 90.ON 90.0 90.0 87.5% 85.0% RS ON 80.ON 80. ON 124,67 11165 3,105.10 1,173.90 22720 378.50 2.887.10 1.217.10 229.50 227.20 2,916.58 1,264) 259.34 229.47 2,950.00 1,27477 281.12 235.61 108.56 522.66 250.20 216.81 BSON 85 ON 75.ON 85.ON 60.0% 70.0% 600M MOON 17904.00 39,8540 44475.24 41,146.37 20 Total 29 Simple avenge return on aset 30 Welged wenige return on ne hesed on 2018 welches 31 We hedge return on amets based on 1Y2020 weights) 32 Overall return on assets, FY 2010 3 Risk capital di 34 Risk capital held, 5 mins 15 is capital cushion (short.5 millions B 38 QUESTIONS: D E 39 1) Calculate shares of book value for each asset class for each year and briefly discuss how these shares change over time. 2) Using risk weightings provided in the Column "G", compute risk capital required, risk capital held and risk capital cushions in each year. Briefly 40 analyze the dynamics and trends in risk capital position of the Insurance Company. 3) Based on (2) above, discuss what are the key risk areas and risk factors that you can identify from this analysis when it comes to risk capital 41 cushions available to the insurer. 4) Now, suppose regulatory authorities decided to tighten capital controls and raised risk weightings (lowered % allowances) on Low and Lower Liquidity instruments/assets as per Column "H". Repeat your analysis for (2) and (3) above. Compare your results to (2) and (3) above. 42 43 44 45 46