亲们一定要坚信自己的实力，相信自己的耐力，因为考出北美精算师并不是很难哦，大家加油就对了。
　　14. X. Agency CMOs I. Usually rated by bond rating
　　agencies.
　　Y. Whole-loan CMOs II. Do not employ credit enhancement
　　techniques.
　　III. Employ credit enhancement
　　techniques.
　　Course 6: Spring 2004 - 19 - GO ON TO NEXT PAGE
　　Morning Session
　　10-16. Each of questions 10 through 16 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).
 
　　15. X. Horizon matching I. Active management.
　　Y. Contingent immunization II. Reduces impact of non-parallel
　　move of yield curve.
　　III. Always duration matched.
 
　　16. X. Value-at-risk model I. Measures the maximum loss in value
　　a company’s portfolio is likely to
　　sustain over a period of time as a
　　result of changes in market prices.
　　Y. Stress test II. Measures a company’s exposure to
　　extreme movements in stock prices.
　　III. Uses average historical correlations
　　among asset prices.
　　Course 6: Spring 2004 - 20 - GO ON TO NEXT PAGE
　　Morning Session
　　USE THIS PAGE FOR YOUR SCRATCH WORK
　　Course 6: Spring 2004 - 21 - GO ON TO NEXT PAGE
　　Morning Session
 
　　17. You are given the following:
　　?  issues traded: 4,800
　　?  advances: 2,600
　　?  declines 1,500
　　?  unchanged: 650
　　?  new highs: 150
　　?  new lows: 50
　　?  advancing volume (000): 470,000
　　?  declining volume (000): 235,000
　　?  total volume (000): 740,000
　　Calculate the “trin” statistic.
　　(A) 0.87
　　(B) 1.02
　　(C) 1.15
　　(D) 1.17
　　(E) 2.00
　　Course 6: Spring 2004 - 22 - GO ON TO NEXT PAGE
　　Morning Session
　　USE THIS PAGE FOR YOUR SCRATCH WORK
　　Course 6: Spring 2004 - 23 - GO ON TO NEXT PAGE
　　Morning Session
 
　　18. An investor purchases 50 shares of a stock on January 28, 2004.
　　You are given the following:
　　?  annual interest on borrowed funds: 7%
　　?  value of each share on January 28, 2005: 100
　　?  investor’s return from January 28, 2004 to January 28, 2005: 30%
　　Calculate the original purchase price of each share, if the initial margin percentage is
　　75%.
　　(A) 66.23
　　(B) 80.48
　　(C) 81.63
　　(D) 85.06
　　(E) 86.02
　　Course 6: Spring 2004 - 24 - GO ON TO NEXT PAGE
　　Morning Session
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　　Course 6: Spring 2004 - 25 - GO ON TO NEXT PAGE
　　Morning Session
 
　　19. You are given the following:
　　?  target return on capital: 15%
　　?  net spread for residential mortgages: 1%
　　?  net spread for mortgage bonds: 0.9%
　　?  pre-tax return: 21%
　　?  risk- free rate: 6%
　　?  MCCSR factors:
　　BBB mortgage bonds: 2%
　　BB residential mortgages: 4%
　　Calculate the MCCSR-adjusted spread for residential mortgages and mortgage bonds,
　　respectively.
　　(A) (0.40%, 0.30%)
　　(B) (0.40%, 0.60%)
　　(C) (0.64%, 0.72%)
　　(D) (0.70%, 0.60%)
　　(E) (0.76%, 0.78%)
　　Course 6: Spring 2004 - 26 - GO ON TO NEXT PAGE
　　Morning Session
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　　Course 6: Spring 2004 - 27 - GO ON TO NEXT PAGE
　　Morning Session
 
　　20. You are given the following:
　　Risk Amount
　　C-1 80
　　C-2 100
　　C-3 90
　　C-4 10
　　Using Zeppatella’s formula for incremental RBC, determine (Wa, Wi), where Wa is the
　　weight associated with assets and Wi is the weight associated with insurance.
　　(A) (0.743, 0.437)
　　(B) (0.793, 0.467)
　　(C) (0.793, 0.507)
　　(D) (0.862, 0.507)
　　(E) (0.862, 0.682)
　　Course 6: Spring 2004 - 28 - GO ON TO NEXT PAGE
　　Morning Session
　　USE THIS PAGE FOR YOUR SCRATCH WORK
　　Course 6: Spring 2004 - 29 - GO ON TO NEXT PAGE
　　Morning Session
 
　　21-24. Questions 21 through 24 consist of an assertion in the left-hand column and a reason in
　　the right-hand column. Code your answer to each question by blackening space:
　　(A) If both the assertion and the reason are true statements, and the reason is a correct
　　explanation of the assertion.
　　(B) If both the assertion and the reason are true statements, but the reason is NOT a
　　correct explanation of the assertion.
　　(C) If the assertion is a true statement, but the reason is a false statement.
　　(D) If the assertion is a false statement, but the reason is a true statement.
　　(E) If both the assertion and the reason are false statements.
　　高顿网校之名言警句汇总：知之者不如好之者，好之者不如乐之者。——孔子