参加今年10月底考试的话，必须进来看看啦。反正也不会花费太多时间，200405北美精算师SOA真题Course6（第四堂课），历年真题很重要，可以看出规律。
　　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
　　USE THIS PAGE FOR YOUR SCRATCH WORK
　　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
　　USE THIS PAGE FOR YOUR SCRATCH WORK
　　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.
　　一日之际在于晨，一年之际在于春，一生之际在于勤。——高顿网校名人心得

 

 
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