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02年5月份那场北美精算师考试SOA真题Course6（二）

来源：高顿网校 2014-08-26

　　下面高顿网校展示的则是02年5月份那场北美精算师考试SOA真题Course6（二），慢慢累积所有知识点。
　　6. (5 points) You are given the following information about three stocks in a multiple stock

　　universe using the single-index model:

　　Beta Mean Excess Return Standard Deviation

　　Stock I 1.25 12% 40%

　　Stock II 0.75 5% 25%

　　Stock III 1.75 12% 40%

　　Market 1.00 8% 20%

　　The risk-free rate is 6% per year.

　　(a) Explain why the single-index model is an effective tool for portfolio optimization.

　　(b) Determine the value of the items in the input list required for the development of

　　a Markowitz efficient frontier.

　　(c) Calculate the expected return and standard deviation for a portfolio consisting of

　　equal proportions of Stock I, Stock II, and Stock III.

　　Show all work.

　　7. (8 points) You are given the following information for company XYZ:

　　? it only sells deferred annuities with rates guaranteed to age 65

　　? its target market is young professionals under the age of 30

　　? policy surrenders are paid at the greater of book value and market value

　　? products are credited with new money interest rates, which are currently at

　　historical lows

　　? currently the liabilities are supported by fixed income securities

　　XYZ is considering investing up to 50% of assets supporting the liabilities in equity

　　investments.

　　XYZ has implemented an annual process to monitor duration mismatch between assets

　　and liabilities.

　　Analyze XYZ’s interest rate risk management practices and, if appropriate, recommend

　　changes to current practices to help minimize this risk.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　COURSE 6

　　MORNING SESSION

　　SECTION B – MULTIPLE CHOICE

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　1. You are given the following characteristics of a zero-coupon bond:

　　? term to maturity: 5 years

　　? yield: 8% on a semi-annual basis

　　Calculate the original-issue discount.

　　(A) 31.9%

　　(B) 32.4%

　　(C) 46.3%

　　(D) 53.7%

　　(E) 67.6%

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　2. You are given the following information about a trading day on the New York Stock

　　Exchange (NYSE):

　　? advances: 2,000

　　? declines: 1,500

　　? advancing volume: 300,000

　　? declining volume: 600,000

　　Calculate the trin statistic and indicate if the NYSE is considered bearish or bullish for

　　that given day.

　　(A) 0.38, bearish

　　(B) 0.38, bullish

　　(C) 2.00, bullish

　　(D) 2.67, bearish

　　(E) 2.67, bullish

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　3. You are given the following information as of January 1, 2002:

　　? stock price: 67

　　? call option price: 2

　　? call option strike price: 72

　　? call option expiry: January 1, 2003

　　? rate of return on a one-year T-bill: 4% annual effective

　　Stock Price on

　　January 1, 2003

　　Probability

　　76 0.60

　　64 0.40

　　Calculate the risk premium for the call option.

　　(A) 0.05

　　(B) 0.16

　　(C) 0.32

　　(D) 0.40

　　(E) 0.46

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　4. You are given the following information for a portfolio consisting of three stocks:

　　Weight Wi b g Beta bi b g Standard Deviation s i b g

　　Stock I 20% 1.2 11%

　　Stock II 40% 0.9 14%

　　Stock III 40% 1.0 20%

　　The standard deviation of the deviation of the common factor from its expected value

　　s F b g is 15%.

　　Using a single factor arbitrage pricing model, calculate the nonsystematic risk standard

　　deviation for this portfolio.

　　(A) 10.0%

　　(B) 15.0%

　　(C) 15.8%

　　(D) 16.2%

　　(E) 18.0%

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION
　　生活若剥去理想梦想幻想，那生命便只是一堆空架子。——高顿网校精品语录

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