英国精算师协会历年考试真题1.pdf

Faculty of Actuaries Institute of Actuaries EXAMINATION 15 April 2005 (am) Certificate in Practical Financial Economics Time allowed: Three hours INSTRUCTIONS TO THE CANDIDATE 1. Enter all the candidate and examination details as requested on the front of your answer booklet. 2. You have 15 minutes at the start of the examination in which to read the questions. You are strongly encouraged to use this time for reading only, but notes may be made. You then have three hours to complete the paper. 3. You must not start writing your answers in the booklet until instructed to do so by the supervisor. 4. Mark allocations are shown in brackets. 5. Attempt all 8 questions, beginning your answer to each question on a separate sheet. 6. Candidates should show calculations where this is appropriate. A T THE END OF THE EXAMINA TI ON Hand in BOTH your answer booklet, with any additional sheets firmly attached, and this question paper. In addition to this paper you should have available the 2002 edition of the Formulae and Tables and your own electronic calculator. Faculty of Actuaries CPFE A2005 Institute of Actuaries 1 (i) Describe three key assumptions underlying the validity of the CAPM. [3] (ii) In the context of the CAPM discuss the concept of systematic risk for a risky security. [3] You are given the following historical information for a share in ABC company and