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高顿网校推荐SOA北美精算师真题May2005ExamC那一年的考试（6）

来源：高顿网校 2014-08-08

　　内容很多，可用心分批记忆消化——高顿网校推荐SOA北美精算师真题May2005ExamC那一年的考试（6）
　　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

　　10. (8 points) An investment house has provided an investor with the following:

　　Scenario Probability Fund A Return Fund B Return

　　1 50% 25% 20%

　　2 30% 10% -20%

　　3 20% -30% 25%

　　The annual T-bill return is 3%.

　　(a) Calculate the correlation coefficient between Fund A and Fund B using the given

　　scenarios.

　　(b) Determine the optimal risky portfolio, Portfolio P. Calculate the expected return

　　and standard deviation of Portfolio P.

　　(c) Calculate the slope of the Capital Allocation Line supported by T-bills and

　　Portfolio P.

　　(d) The investor has the following utility function:

　　( U=E r)?0.025σ 2

　　Calculate the amount the investor would invest in each of:

　　(i) Fund A

　　(ii) Fund B

　　(iii) T-bills

　　(e) Another investment house has developed a portfolio, Portfolio Q, using Fund A

　　and Fund B. The expected return of Portfolio Q is 10% and the standard

　　deviation is 12%. Explain if the investor should invest in Portfolio Q rather than

　　Portfolio P.

　　Show all work.

　　Course 6: Spring 2005 -37- GO ON TO NEXT PAGE

　　Afternoon Session
　　生命的用途并不在长短而在我们怎样利用它。许多人活的日子并不多，却活了很长久。——高顿网校极品语录

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