高顿项目

国内财会

国际财会

金融证书

公务员

考研

考研

继续教育

继续教育

在职硕博

学历学位

国企求职

军队文职

军队文职

职业提升

语言培训

出国留学

海外留学

北美精算师考试：SOA真题May2004Course6之二

来源：高顿网校 2014-07-16

　　以下为高顿网校小编给全国精算师考生准备的北美精算师考试：SOA真题May2004Course6之二，此乃考前复习资料，请收藏起来吧。
　　6. (5 points) You are given the following:

　　Features

　　Bond Maturity (years) Annual Coupon Rate (%) Embedded Options

　　A 10 5% None

　　B 10 5% Put Option

　　C 10 7% None

　　D 10 7% Call Option

　　W 20 8% None

　　X 20 8% Put Option

　　Y 20 10% None

　　Z 20 10% Call Option

　　(a) Describe how bond features affect interest rate risk.

　　(b) An investor only buys bonds that have at least two of their features with high

　　sensitivity to interest rate changes. Identify the four bonds that this investor will

　　buy. Explain your answer.

　　7. (5 points)

　　(a) Describe the advantages of simulation techniques and lattice methods.

　　(b) Outline the issues that arise when implementing simulation techniques for a

　　mortgage-backed securities portfolio.

　　(c) Describe how lattice methods are used in a simulation model when evaluating a

　　mortgage-backed securities portfolio.

　　Course 6: Spring 2004 - 6 - GO ON TO NEXT PAGE

　　Morning Session

　　COURSE 6

　　MORNING SESSION

　　SECTION B – MULTIPLE CHOICE

　　Course 6: Spring 2004 - 7 - GO ON TO NEXT PAGE

　　Morning Session

　　1. You are given the following bond portfolio:

　　S&P

　　Rating

　　Percentage

　　of Portfolio

　　AAA 10%

　　AA+ 10%

　　BBB+ 10%

　　A+ 25%

　　D 2%

　　CC 3%

　　BBB- 15%

　　BB+ 5%

　　A 20%

　　Determine the percentage of the portfolio that is investment grade.

　　(A) 65%

　　(B) 75%

　　(C) 90%

　　(D) 95%

　　(E) 100%

　　Course 6: Spring 2004 - 8 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 9 - GO ON TO NEXT PAGE

　　Morning Session

　　2. You are given the following information for a mutual fund:

　　? net asset value (NAV) at December 31, 2003: 28

　　? income distribution per share in 2004: 0.4

　　? assets at December 31, 2004: 620,000

　　? liabilities at December 31, 2004: 14,600

　　? shares outstanding: 20,000

　　No securities were sold throughout the year. There are no capital gain distributions and

　　no fees in the year.

　　Calculate the effective annual interest rate of return for the mutual fund.

　　(A) 6.7%

　　(B) 8.1%

　　(C) 8.8%

　　(D) 9.5%

　　(E) 12.1%

　　Course 6: Spring 2004 - 10 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 11 - GO ON TO NEXT PAGE

　　Morning Session

　　3. A one-period securities market model is given by ( S 0) = [1 1 1].

　　( )

　　2 1.6 0

　　1 0 0.8

　　0 0 1

　　S x

　　? ?

　　=?? ÷÷

　　? ÷

　　è ?

　　Determine the range of values for x so that this model is arbitrage free.

　　(A) x > 4

　　(B) x < 4

　　(C) x > 0

　　(D) x < 0

　　(E) no such x exists

　　Course 6: Spring 2004 - 12 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 13 - GO ON TO NEXT PAGE

　　Morning Session

　　4. You are given the following:

　　? expected return of market portfolio: 7.0%

　　? variance of market portfolio: 10.0%

　　? variance of Security A: 19.0%

　　? covariance of Security A and market portfolio: 25.0%

　　? risk- free rate: 5.0%

　　Calculate the expected return of Security A using CAPM.

　　(A) 7.6%

　　(B) 10.0%

　　(C) 14.2%

　　(D) 17.5%

　　(E) 22.5%

　　Course 6: Spring 2004 - 14 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 15 - GO ON TO NEXT PAGE

　　Morning Session

　　5-9. Questions 5 through 9 consist of an assertion in the left-hand column and a reason in the

　　right-hand column. Code your answer to each question by blackening space:

　　(A) If both the assertion and the reason are true statements, and the reason is a correct

　　explanation of the assertion.

　　(B) If both the assertion and the reason are true statements, but the reason is NOT a

　　correct explanation of the assertion.

　　(C) If the assertion is a true statement, but the reason is a false statement.

　　(D) If the assertion is a false statement, but the reason is a true statement.

　　(E) If both the assertion and the reason are false statements.
　　高顿网校之名人语录：学佛*9个观念，永远不去看众生的过错。你看众生的过错，你永远污染你自己，你根本不可能修行。

版权声明：本条内容自发布之日起，有效期为一个月。凡本网站注明“来源高顿教育”或“来源高顿网校”或“来源高顿”的所有作品，均为本网站合法拥有版权的作品，未经本网站授权，任何媒体、网站、个人不得转载、链接、转帖或以其他方式使用。经本网站合法授权的，应在授权范围内使用，且使用时必须注明“来源高顿教育”或“来源高顿网校”或“来源高顿”，并不得对作品中出现的“高顿”字样进行删减、替换等。违反上述声明者，本网站将依法追究其法律责任。本网站的部分资料转载自互联网，均尽力标明作者和出处。本网站转载的目的在于传递更多信息，并不意味着赞同其观点或证实其描述，本网站不对其真实性负责。如您认为本网站刊载作品涉及版权等问题，请与本网站联系(邮箱fawu@gaodun.com，电话：021-31587497)，本网站核实确认后会尽快予以处理。

展开全文咨询在线

严选名师全流程服务

其他人还搜了热门推荐