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  #1  
Old 10-18-2006, 05:17 PM
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This ones tough...

http://ca.geocities.com/actuary_exam...Sample2-1Q.pdf
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Old 10-18-2006, 05:20 PM
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Where are the last 5 questions? How realistic is THAT!?!
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Old 10-18-2006, 05:22 PM
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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!
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Old 10-18-2006, 05:28 PM
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I'll use this one in place of ASM #4 Thanks for the link.
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Old 10-18-2006, 05:29 PM
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In case you're one of those who refuses to look at the solutions:

DBDBBCACBAACDBCDDCBA
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Old 10-18-2006, 05:38 PM
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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.
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Old 10-18-2006, 05:43 PM
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Originally Posted by atomic View Post
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.
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Old 10-19-2006, 01:43 PM
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Quote:
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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
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Old 10-19-2006, 02:43 PM
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Quote:
Originally Posted by mykenk View Post
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
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Old 10-19-2006, 02:44 PM
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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
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