请亲们时刻留意高顿网校精算师“北美精算师考试”频道，比如北美精算师考试SOA2014年秋季May2005Course6（第5部分），供您学习。
　　29.Youaregiventhefollowing:
　　PortfolioMarketValueDuration
　　Assets1005.2
　　Liabilities854.4
　　Calculatethechangeineconomicsurplusifinterestratesdeclineby50basispoints.
　　(A)–1.5
　　(B)–0.7
　　(C)0.0
　　(D)0.7
　　(E)1.5
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　　30.Thetrackingerrorforaportfoliois50basispoints.Furtheranalysisshowsthatthe
　　trackingerrorforthesystematicriskis45basispoints.Calculatethetrackingerrorfor
　　theunsystematicrisk.
　　(A)2basispoints
　　(B)5basispoints
　　(C)14basispoints
　　(D)22basispoints
　　(E)25basispoints
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　　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
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　　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
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　　MORNINGSESSION
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　　COURSE6
　　AFTERNOONSESSION
　　WRITTENANSWER
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　　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
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　　高顿网校之淳淳教诲放送：梦想无论怎么模糊，它总潜伏在我们心底，使我们的心境永远得不到宁静，直到梦想成为事实。