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【中国精算师】考试辅导——SOA试卷练习4

来源：高顿网校 2014-07-14

　　以下则是高顿网校小编为您整理的【中国精算师】考试辅导——SOA试卷练习4，请尽快吸收。祝君考试通过。
　　8.

　　ASSERTION

　　Firm-wide stress tests are

　　reviewed frequently but changed

　　infrequently.

　　BECAUSE

　　REASON

　　Stress tests may be usefully

　　applied to markets in which

　　illiquid conditions produce asset

　　price jumps and impede securities

　　trading during times of stress.

　　9.

　　ASSERTION

　　The FHA experience method is

　　rarely used as a prepayment

　　model.

　　BECAUSE

　　REASON

　　The FHA experience method does

　　not reflect the effect of age on prepayments.

　　10.

　　ASSERTION

　　If a risk-free asset is available,

　　only aggressive investors will be

　　affected by a restriction on

　　borrowing.

　　BECAUSE

　　REASON

　　A borrowing restriction drives

　　aggressive investors to portfolios

　　on the efficient frontier of risky

　　assets.

　　Course 6: Spring 2005 - 12 - GO ON TO NEXT PAGE

　　Morning Session

　　11. A fixed-rate bond with a market value of 20 million and a duration of 4 is separated into

　　three bonds. Two of the bonds are floaters and the third is an inverse floater.

　　You are given the following information with respect to the floaters:

　　Floater Market Value Duration

　　A 16 million 1

　　B 2 million 0.5

　　Calculate the duration of the inverse floater.

　　(A) 2.50

　　(B) 3.06

　　(C) 3.15

　　(D) 25.20

　　(E) 31.50

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　　Morning Session

　　May2005ExamC

　　12. You are given the following with respect to Stock X:

　　Stock price today: 10

　　? Stock price one year from today: either 12 or 7

　　? Call option strike price: 11

　　The annual interest is 5%.

　　Calculate the no-arbitrage call option price on Stock X as of today.

　　(A) 0.67

　　(B) 0.74

　　(C) 1.40

　　(D) 1.47

　　(E) 3.33

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　　Morning Session

　　13. For a portfolio of investment-grade fixed-income securities, rank the following factors by

　　their impact on the portfolio return from greatest to least.

　　(A) Duration management, individual bond selection, sector selection

　　(B) Duration management, sector selection, individual bond selection

　　(C) Individual bond selection, duration management, sector selection

　　(D) Individual bond selection, sector selection, duration management

　　(E) Sector selection, individual bond selection, duration management

　　14. You are given the following information with respect to a stock portfolio:

　　Stock Portfolio Proportion β

　　A 75% 1.25

　　B 25% 1.45

　　The market risk premium is 4%.

　　Calculate the risk premium of the portfolio.

　　(A) 5.0%

　　(B) 5.2%

　　(C) 5.4%

　　(D) 5.6%

　　(E) 5.8%

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　　Morning Session

　　15. You are given the following with respect to a portfolio of zero-coupon bonds:

　　Bond Current Value Maturity Value Time to Maturity

　　A 1000 1081.60 2 years

　　B 1000 1215.51 4 years

　　Calculate the yield-to-maturity for this portfolio.

　　(A) 4.3%

　　(B) 4.5%

　　(C) 4.7%

　　(D) 9.6%

　　(E) 10.0%

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　　Morning Session
　　高顿网校之淳淳教诲：书籍一面启示我的智慧和心灵，一面帮着我在一片烂泥塘里站了起来，如果不是书籍的话，我就沉没在这片泥塘里，我就要被愚蠢和下流淹死。 —— 高尔基

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