有精算师赴考者报考今年10月份北美地区的么？赶紧鼠标戳进来哦——SOA精算师考试北美真题——May2005ExamC（6）
　　31-36.Eachofquestions31through36consistsoftwolists.Inthelistattheleftaretwoitems,
　　letteredXandY.Inthelistattherightarethreeitems,numberedI,IIandIII.ONEof
　　thelettereditemsisrelatedinsomewaytoEXACTLYTWOofthenumbereditems.
　　Indicatetherelateditemsusingthefollowinganswercode:
　　LetteredItem
　　IsRelatedtoNumberedItems
　　(A)
　　X
　　IandIIonly
　　(B)
　　X
　　IIandIIIonly
　　(C)
　　Y
　　IandIIonly
　　(D)
　　Y
　　IandIIIonly
　　(E)
　　Thecorrectanswerisnotgivenby(A),(B),(C)or(D).
 
　　31.X.RiskBasedCapitalI.Concentrationfactoradjustments
　　Y.MinimumContinuingCapital
　　SurplusRequirement
　　II.Assetfactorsfollowageometric
　　patternascreditdecreases
　　III.C-0risk
 
　　32.X.FreddieMacsecuritiesI.Freeofcreditrisk
　　Y.U.S.TreasurysecuritiesII.Intheprimarymarket,soldthrough
　　single-priceauction
　　III.Interestincomemaybesubjectto
　　stateandlocaltaxation
　　Course6:Spring2005-33-STOP
　　MorningSession
 
　　33.X.InterestratecorridorsI.Sometimesdescribedasswapping
　　intoabond
　　Y.InterestratecollarsII.Donotinvolvethesaleofafloor
　　III.Offerprotectionfrominterestrate
　　increasesatalowercostthanwith
　　thepurchaseofacap
 
　　34.X.InsuredassetallocationI.Requiresaninvestorrisktolerance
　　function
　　Y.TacticalassetallocationII.Requiresapredictionprocedure
　　III.Usuallyassumesthatexpected
　　returns,risks,andcorrelations
　　remainthesame
 
　　35.X.Interest-onlystripsI.Thepriceincreaseswheninterest
　　ratesdecline
　　Y.Principal-onlystripsII.Benefitfromslowingprepayments
　　III.Havepositiveduration
 
　　36.X.CAPMI.Systematicfactors
　　Y.SingleindexmodelII.Singleperiodplanners
　　III.Drasticallyreducesthenecessary
　　inputsintheMarkowitzportfolio
　　selectionprocedure
　　**ENDOFEXAMINATION**
　　MORNINGSESSION
　　Course6:Spring2005-34-GOONTONEXTPAGE
　　AfternoonSession
　　COURSE6
　　AFTERNOONSESSION
　　WRITTENANSWER
　　Course6:Spring2005-35-GOONTONEXTPAGE
　　AfternoonSession
　　**BEGINNINGOFEXAMINATION**
　　AFTERNOONSESSION
　　8.(4points)ListanddefinethedutiesofanERISAtrustee.Provideaspecificexampleof
　　aviolationofeachduty.
　　9.(4points)
　　(a)Compareinterestrateforwards,interestratefutures,interestrate
　　swaps,andinterestratecapsandfloorsintermsofthefollowing:
　　(i)Typesofmarkets
　　(ii)Liquidity
　　(iii)Contractform
　　(iv)Transactioncosts
　　(b)Explainhoweachofthefollowinginstrumentscanbe
　　usedtomanagetheinterestrateriskexposureofablockoffixed-rateannuities
　　currentlysupportedbyfloating-rateassets:
　　(i)Interestrateswaps
　　(ii)Interestratecapsandfloors
　　Course6:Spring2005-36-GOONTONEXTPAGE
　　AfternoonSession
　　10.(8points)Aninvestmenthousehasprovidedaninvestorwiththefollowing:
　　ScenarioProbabilityFundAReturnFundBReturn
　　150%25%20%
　　230%10%-20%
　　320%-30%25%
　　TheannualT-billreturnis3%.
　　(a)CalculatethecorrelationcoefficientbetweenFundAandFundBusingthegiven
　　scenarios.
　　(b)Determinetheoptimalriskyportfolio,PortfolioP.Calculatetheexpectedreturn
　　andstandarddeviationofPortfolioP.
　　(c)CalculatetheslopeoftheCapitalAllocationLinesupportedbyT-billsand
　　PortfolioP.
　　(d)Theinvestorhasthefollowingutilityfunction:
　　(U=Er)?0.025σ2
　　Calculatetheamounttheinvestorwouldinvestineachof:
　　(i)FundA
　　(ii)FundB
　　(iii)T-bills
　　(e)Anotherinvestmenthousehasdevelopedaportfolio,PortfolioQ,usingFundA
　　andFundB.TheexpectedreturnofPortfolioQis10%andthestandard
　　deviationis12%.ExplainiftheinvestorshouldinvestinPortfolioQratherthan
　　PortfolioP.
　　Showallwork.
　　Course6:Spring2005-37-GOONTONEXTPAGE
　　AfternoonSession
　　高顿网校之考试箴言：没有引发任何行动的思想都不是思想，而是梦想。 —— 马丁