OOOH WEEEE!

[ebony]

This ones tough...

http://ca.geocities.com/actuary_exam...Sample2-1Q.pdf

[MyKenk]

Where are the last 5 questions? How realistic is THAT!?!

[MyKenk]

I like all those questions except for maybe number 5. Although it doesn't require too much probability, all FM related discussions to bonds I've seen is that there is zero percent default risk (ie: you get everything, for sure)...the fact that they used a binomial tree to solve the problem doesn't help make it FM worthy either.

nice problem set though!

[no driver]

I'll use this one in place of ASM #4 Thanks for the link.

[MyKenk]

In case you're one of those who refuses to look at the solutions:

DBDBBCACBAACDBCDDCBA

[atomic]

I see nothing on spot or forward rates (i.e., term structure of interest rates), or cashflow duration or immunization. There's too much emphasis on annuities valuation, not enough about bonds, and the question style is dissimilar to what I encountered on the exam. But that's just my impression at a glance.

[ebony]

Originally Posted by atomic

I see nothing on spot or forward rates (i.e., term structure of interest rates), or cashflow duration or immunization. There's too much emphasis on annuities valuation, not enough about bonds, and the question style is dissimilar to what I encountered on the exam. But that's just my impression at a glance.

Thanks for the input I also don't think it is a fair distribution of questions, but the ones that are included are challenging.

[stbaugh13]

Originally Posted by mykenk

In case you're one of those who refuses to look at the solutions:

DBDBBCACBAACDBCDDCBA

can you show me how to do #14 i keep on getting A

[ebony]

Originally Posted by stbaugh13

can you show me how to do #14 i keep on getting A

[MyKenk]

Here's your answer:

Spoiler:

with dividend:
i1 = (10-5+.04*M)/M = (5+.04M)/

without dividend:
i2 = (10+.04M)/M

i2 = i1+.02

(10+.04M)/M=(5+.04M)/M +.02

5/M = .02

M = 250

i1 = (5+.04*250)/250 = 6% => B