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精算师【SOA北美真题】May2004Course6——3

来源：高顿网校 2014-07-16

　　有请来自五湖四海的北美精算师莘莘学子们进来看看精算师【SOA北美真题】May2004Course6——3。
　　5.

　　ASSERTION

　　The original loan-to-value ratio

　　overestimates the measurement

　　of defaults for home mortgages.

　　BECAUSE

　　REASON

　　As home mortgages become more

　　seasoned, default rates tend to

　　decline.

　　6.

　　ASSERTION

　　Preferred stock payments are taxdeductible

　　for the issuing

　　corporation.

　　BECAUSE

　　REASON

　　Preferred stock payments are

　　treated as dividends.

　　Course 6: Spring 2004 - 16 - GO ON TO NEXT PAGE

　　Morning Session

　　7.

　　ASSERTION

　　An option-adjusted spread (OAS)

　　value by itself does not provide

　　sufficient information to

　　determine whether a bond is rich

　　or cheap.

　　BECAUSE

　　REASON

　　OAS is the spread to short-term

　　interest rates that equates the

　　theoretical price of a bond to its

　　market price.

　　8.

　　ASSERTION

　　Interest rate caps and floors

　　should not be used when the

　　holding period of the underlying

　　asset or liability is flexible or

　　subject to change.

　　BECAUSE

　　REASON

　　Termination of interest rate caps

　　and floors involves exit costs.

　　9.

　　ASSERTION

　　A trustee may engage in a

　　transaction that breaches another

　　duty to the detriment of the

　　participants because he is

　　instructed to do so in accordance

　　with the trust agreement.

　　BECAUSE

　　REASON

　　The trustee is under the obligation

　　to manage the trust in accordance

　　with the trust agreement.

　　Course 6: Spring 2004 - 17 - GO ON TO NEXT PAGE

　　Morning Session

　　10-16. Each of questions 10 through 16 consists of two lists. In the list at the left are two items,

　　lettered X and Y. In the list at the right are three items, numbered I, II, and III. ONE of

　　the lettered items is related in some way to EXACTLY TWO of the numbered items.

　　Indicate the related items using the following answer code:

　　Lettered Item

　　Is Related to Numbered Items

　　(A)

　　X

　　I and II only

　　(B)

　　X

　　II and III only

　　(C)

　　Y

　　I and II only

　　(D)

　　Y

　　I and III only

　　(E)

　　The correct answer is not given by (A), (B), (C) or (D).

　　10. X. Real Assets I. Patents

　　Y. Financial Assets II. Appear only on the asset side of the

　　balance sheet

　　III. Are created and destroyed in the

　　ordinary course of doing business

　　11. X. Callable Bonds I. Bond price at low yields is

　　approximately equal to the price of

　　an option- free bond.

　　Y. Putable Bonds II. Negative convexity at low yield

　　levels and positive convexity at high

　　yield levels.

　　III. Positive convexity at all yield levels.

　　Course 6: Spring 2004 - 18 - GO ON TO NEXT PAGE

　　Morning Session

　　12. X. Lattice methods I. Allow for more realistic jumps in

　　interest rates of varying amounts

　　along a single path.

　　Y. Simulation methods II. Easier to use to value instruments

　　that have embedded American-style

　　options.

　　III. Easier to use when more than one

　　factor changes at the same time.

　　13. X. Forward contracts I. Dealer or broker

　　Y. Futures contracts II. Bid-ask spread

　　III. High liquidity
　　高顿网校之名人话语：认识自己，降伏自己，改变自己，才能改变别人。

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