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精算师北美考区的往年真题珍藏：2003年5月份Course6（第二堂课程）

来源：高顿网校 2014-08-31

　　美精算师北美考区的往年真题：2003年5月份Course6（第二堂课程）已通过下文给到大家，请自行安排复习时间哦。　　5. (7 points) You are given the following with respect to non-callable default-free zero-coupon

　　bonds:

　　Time to Maturity atf Current Price

　　1 year 980.392

　　2 years 942.596

　　3 years 888.996

　　4 years 838.561

　　5 years 765.134

　　You are given the following with respect to a five-year option-free bond:

　　? annual coupons of b2 + tg% are paid at the end of each year

　　? par value of 1,000

　　? yield-to-maturity byg of 5.50%

　　For the five-year annual coupon bond:

　　(a) Calculate the Macaulay duration.

　　(b) Calculate the Macaulay convexity.

　　(d) Calculate the Fisher-Weil convexity.

　　(e) Calculate the elasticity of the price using a discount factor of 1 / a1+ yf.

　　(f) Calculate the value of M-squared.

　　Show all work.

　　Course 6: Spring 2003 - 6 - GO ON TO NEXT PAGE

　　6. (8 points) You are given the following with respect to a defined benefit pension plan:

　　? final pension is based on career average salaries without an explicit provision for

　　post-retirement indexation

　　? assets of the pension plan are actively managed by two external managers

　　? no contributions were made to the fund in 2002

　　The plan balance sheet for the previous two years is as follows:

　　December 31, 2001 December 31, 2002

　　Assets

　　Fixed Income

　　Equities

　　100

　　104

　　Liabilities

　　Accumulated Benefit Obligation

　　Projected Benefit Obligation

　　180

　　195

　　198

　　213

　　The plan sponsor is concerned with the volatility of the pension plan surplus and is reviewing the

　　investment portfolio structure and asset allocation.

　　(a) Describe the fundamental decisions involved in the construction of a pension plan

　　investment portfolio.

　　(b) Compare active to passive investment management strategies.

　　(d) Calculate the surplus rate of investment return for 2002.

　　(e) Formulate the surplus optimization analysis for the plan and recommend an asset

　　allocation.

　　(f) Propose stress tests to assess the sensitivity of the surplus to sharp changes in asset

　　prices.

　　Show all work.

　　Course 6: Spring 2003 - 7 - GO ON TO NEXT PAGE

　　7. (5 points) With respect to auto loan asset-backed securities (ABS) and auto lease ABS,

　　describe the risks associated with each of these securities and explain how these risks can be

　　mitigated.

　　Course 6: Spring 2003 - 8 - GO ON TO NEXT PAGE

　　COURSE 6

　　MORNING SESSION

　　SECTION B-MULTIPLE CHOICE

　　Course 6: Spring 2003 - 9 - GO ON TO NEXT PAGE

　　1. You are given the following with respect to an optimal risky portfolio:

　　? expected return: 7%

　　? risk premium: 3%

　　? variance: 100

　　Calculate the slope of the capital allocation line (CAL) for this portfolio.

　　(A) 0.03

　　(B) 0.04

　　(D) 0.40

　　(E) 3.00

　　Course 6: Spring 2003 - 10 - GO ON TO NEXT PAGE

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2003 - 11 - GO ON TO NEXT PAGE

　　2. You are given the following with respect to a portfolio consisting of two mutual funds:

　　Mutual Fund Weight Variance

　　Stock 25% 100

　　Bond 75% 36

　　The correlation coefficient between the fund returns is -0 5 . .

　　Calculate the variance of the portfolio.

　　(A) 3.91

　　(B) 15.25

　　(D) 37.25

　　(E) 40.75

　　Course 6: Spring 2003 - 12 - GO ON TO NEXT PAGE

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2003 - 13 - GO ON TO NEXT PAGE

　　3-8. Each of questions 3 through 8 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)

　　I and II only

　　(B)

　　II and III only

　　(C)

　　I and II only

　　(D)

　　I and III only

　　(E)

　　The correct answer is not given by (A), (B), (C) or (D).
　　惜时、专心、苦读是做学问的一个好方法。——高顿网校名人话语

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