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05年5月份精算师北美地区SOA真题Course6（Part5）

来源：高顿网校 2014-08-07

　　高顿网校赶赴北美各地的亲们，大家请再拼搏最后这段时间了（3个月不到），拿下这张颇具含金量的北美精算师资格证哦！05年5月份精算师北美地区SOA真题Course6（Part5），犒劳大家了。
　　29. You are given the following:

　　Portfolio Market Value Duration

　　Assets 100 5.2

　　Liabilities 85 4.4

　　Calculate the change in economic surplus if interest rates decline by 50 basis points.

　　(A) –1.5

　　(B) –0.7

　　(C) 0.0

　　(D) 0.7

　　(E) 1.5

　　Course 6: Spring 2005 - 29 - GO ON TO NEXT PAGE

　　Morning Session

　　THIS PAGE INTENTIONALLY LEFT BLANK

　　Course 6: Spring 2005 - 30 - GO ON TO NEXT PAGE

　　Morning Session

　　30. The tracking error for a portfolio is 50 basis points. Further analysis shows that the

　　tracking error for the systematic risk is 45 basis points. Calculate the tracking error for

　　the unsystematic risk.

　　(A) 2 basis points

　　(B) 5 basis points

　　(C) 14 basis points

　　(D) 22 basis points

　　(E) 25 basis points

　　Course 6: Spring 2005 - 31 - GO ON TO NEXT PAGE

　　Morning Session

　　THIS PAGE INTENTIONALLY LEFT BLANK

　　Course 6: Spring 2005 - 32 - GO ON TO NEXT PAGE

　　Morning Session

　　31-36. Each of questions 31 through 36 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).

　　31. X. Risk Based Capital I. Concentration factor adjustments

　　Y. Minimum Continuing Capital

　　Surplus Requirement

　　II. Asset factors follow a geometric

　　pattern as credit decreases

　　III. C-0 risk

　　32. X. Freddie Mac securities I. Free of credit risk

　　Y. U.S. Treasury securities II. In the primary market, sold through

　　single-price auction

　　III. Interest income may be subject to

　　state and local taxation

　　Course 6: Spring 2005 - 33 - STOP

　　Morning Session

　　33. X. Interest rate corridors I. Sometimes described as swapping

　　into a bond

　　Y. Interest rate collars II. Do not involve the sale of a floor

　　III. Offer protection from interest rate

　　increases at a lower cost than with

　　the purchase of a cap

　　34. X. Insured asset allocation I. Requires an investor risk tolerance

　　function

　　Y. Tactical asset allocation II. Requires a prediction procedure

　　III. Usually assumes that expected

　　returns, risks, and correlations

　　remain the same

　　35. X. Interest-only strips I. The price increases when interest

　　rates decline

　　Y. Principal-only strips II. Benefit from slowing prepayments

　　III. Have positive duration

　　36. X. CAPM I. Systematic factors

　　Y. Single index model II. Single period planners

　　III. Drastically reduces the necessary

　　inputs in the Markowitz portfolio

　　selection procedure

　　**END OF EXAMINATION**

　　MORNING SESSION

　　Course 6: Spring 2005 -34- GO ON TO NEXT PAGE

　　Afternoon Session

　　COURSE 6

　　AFTERNOON SESSION

　　WRITTEN ANSWER

　　Course 6: Spring 2005 -35- GO ON TO NEXT PAGE

　　Afternoon Session

　　**BEGINNING OF EXAMINATION**

　　AFTERNOON SESSION

　　8. (4 points) List and define the duties of an ERISA trustee. Provide a specific example of

　　a violation of each duty.

　　9. (4 points)

　　(a) Compare interest rate forwards, interest rate futures, interest rate

　　swaps, and interest rate caps and floors in terms of the following:

　　(i) Types of markets

　　(ii) Liquidity

　　(iii) Contract form

　　(iv) Transaction costs

　　(b) Explain how each of the following instruments can be

　　used to manage the interest rate risk exposure of a block of fixed-rate annuities

　　currently supported by floating-rate assets:

　　(i) Interest rate swaps

　　(ii) Interest rate caps and floors

　　Course 6: Spring 2005 -36- GO ON TO NEXT PAGE

　　Afternoon Session
　　时间是世界上一切成就的土壤。时间给空想者痛苦，给创造者幸福。——高顿网校旷世名言

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