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历年SOA真题——北美精算师May2004Course6（4）

来源：高顿网校 2014-07-17

　　路过这里的精算师之学子们，来高顿网校精算师频道报道哦。我们这里题库和网校都俱全，请看历年SOA真题——北美精算师May2004Course6（4）。
　　14. X. Agency CMOs I. Usually rated by bond rating

　　agencies.

　　Y. Whole-loan CMOs II. Do not employ credit enhancement

　　techniques.

　　III. Employ credit enhancement

　　techniques.

　　Course 6: Spring 2004 - 19 - GO ON TO NEXT PAGE

　　Morning Session

　　10-16. Each of questions 10 through 16 consists of two lists. In the list at the left are two items,

　　lettered X and Y. In the list at the right are three items, numbered I, II, and III. ONE of

　　the lettered items is related in some way to EXACTLY TWO of the numbered items.

　　Indicate the related items using the following answer code:

　　Lettered Item

　　Is Related to Numbered Items

　　(A)

　　X

　　I and II only

　　(B)

　　X

　　II and III only

　　(C)

　　Y

　　I and II only

　　(D)

　　Y

　　I and III only

　　(E)

　　The correct answer is not given by (A), (B), (C) or (D).

　　15. X. Horizon matching I. Active management.

　　Y. Contingent immunization II. Reduces impact of non-parallel

　　move of yield curve.

　　III. Always duration matched.

　　16. X. Value-at-risk model I. Measures the maximum loss in value

　　a company’s portfolio is likely to

　　sustain over a period of time as a

　　result of changes in market prices.

　　Y. Stress test II. Measures a company’s exposure to

　　extreme movements in stock prices.

　　III. Uses average historical correlations

　　among asset prices.

　　Course 6: Spring 2004 - 20 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 21 - GO ON TO NEXT PAGE

　　Morning Session

　　17. You are given the following:

　　 issues traded: 4,800

　　 advances: 2,600

　　 declines 1,500

　　 unchanged: 650

　　 new highs: 150

　　 new lows: 50

　　 advancing volume (000): 470,000

　　 declining volume (000): 235,000

　　 total volume (000): 740,000

　　Calculate the “trin” statistic.

　　(A) 0.87

　　(B) 1.02

　　(C) 1.15

　　(D) 1.17

　　(E) 2.00

　　Course 6: Spring 2004 - 22 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 23 - GO ON TO NEXT PAGE

　　Morning Session

　　18. An investor purchases 50 shares of a stock on January 28, 2004.

　　You are given the following:

　　 annual interest on borrowed funds: 7%

　　 value of each share on January 28, 2005: 100

　　 investor’s return from January 28, 2004 to January 28, 2005: 30%

　　Calculate the original purchase price of each share, if the initial margin percentage is

　　75%.

　　(A) 66.23

　　(B) 80.48

　　(C) 81.63

　　(D) 85.06

　　(E) 86.02

　　Course 6: Spring 2004 - 24 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 25 - GO ON TO NEXT PAGE

　　Morning Session

　　19. You are given the following:

　　 target return on capital: 15%

　　 net spread for residential mortgages: 1%

　　 net spread for mortgage bonds: 0.9%

　　 pre-tax return: 21%

　　 risk- free rate: 6%

　　 MCCSR factors:

　　BBB mortgage bonds: 2%

　　BB residential mortgages: 4%

　　Calculate the MCCSR-adjusted spread for residential mortgages and mortgage bonds,

　　respectively.

　　(A) (0.40%, 0.30%)

　　(B) (0.40%, 0.60%)

　　(C) (0.64%, 0.72%)

　　(D) (0.70%, 0.60%)

　　(E) (0.76%, 0.78%)

　　Course 6: Spring 2004 - 26 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 27 - GO ON TO NEXT PAGE

　　Morning Session

　　20. You are given the following:

　　Risk Amount

　　C-1 80

　　C-2 100

　　C-3 90

　　C-4 10

　　Using Zeppatella’s formula for incremental RBC, determine (Wa, Wi), where Wa is the

　　weight associated with assets and Wi is the weight associated with insurance.

　　(A) (0.743, 0.437)

　　(B) (0.793, 0.467)

　　(C) (0.793, 0.507)

　　(D) (0.862, 0.507)

　　(E) (0.862, 0.682)

　　Course 6: Spring 2004 - 28 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 29 - GO ON TO NEXT PAGE

　　Morning Session

　　21-24. Questions 21 through 24 consist of an assertion in the left-hand column and a reason in

　　the right-hand column. Code your answer to each question by blackening space:

　　(A) If both the assertion and the reason are true statements, and the reason is a correct

　　explanation of the assertion.

　　(B) If both the assertion and the reason are true statements, but the reason is NOT a

　　correct explanation of the assertion.

　　(C) If the assertion is a true statement, but the reason is a false statement.

　　(D) If the assertion is a false statement, but the reason is a true statement.

　　(E) If both the assertion and the reason are false statements.
　　高顿网校之短句汇编：在顺境中修行，永远不能成佛。

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