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精算师北美考试之SOA真题May2004Course6（五）

来源：高顿网校 2014-07-17

　　以下是精算师北美考试之SOA真题May2004Course6（五），虽然有点枯燥，但是大家要用心记在脑子里呀，北美精算师考试保证能过关。
　　30. X. Price sensitivity techniques I. Maturity gap management

　　Y. Cash flow techniques II. Key rate duration

　　III. Convexity

　　31. X. Z Bonds I. No reinvestment risk during the

　　accretion phase.

　　Y. Accretion-directed Classes II. Do not extend even if there are no

　　prepayments.

　　III. Price is highly sensitive to interest

　　rate movements.

　　Course 6: Spring 2004 - 34 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 35 - GO ON TO NEXT PAGE

　　Morning Session

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

　　 duration: 3

　　 dispersion: 0.75

　　 all cash flows are positive

　　Time ( t ) ( PV CFt )

　　1 1

　　2 X

　　3 Y

　　4 0

　　5 1

　　Determine the minimum value of Y .

　　(A) 0

　　(B) 3

　　(C) 4

　　(D) 9

　　(E) 26

　　Course 6: Spring 2004 - 36 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 37 - GO ON TO NEXT PAGE

　　Morning Session

　　33. You are given the following with respect to a multiplicative binomial model:

　　 the current short rate is 4%

　　 rates are twice as likely to rise as they are to fall

　　 the volatility parameter is 20%

　　Determine the expected short rate two periods from now.

　　(A) 3.65

　　(B) 4.13

　　(C) 4.31

　　(D) 4.55

　　(E) 4.65

　　Course 6: Spring 2004 - 38 - GO ON TO NEXT PAGE

　　Morning Session

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2004 - 39 - STOP

　　Morning Session

　　34. You are given the following with respect to a mutual fund:

　　 annual expense ratio: 1%

　　 gross annual rate of return: 10%

　　The back-end load fee starts at 4% and reduces by 0.5% on each anniversary.

　　An investor makes an initial investment of 5,000 on January 1, 2002.

　　Calculate the realized gain if the investor sells the shares on December 31, 2004.

　　(A) 941

　　(B) 1,216

　　(C) 1,281

　　(D) 1,313

　　(E) 1,455

　　Course 6: Spring 2004 - 40 - GO ON TO NEXT PAGE

　　Morning Session

　　COURSE 6

　　AFTERNOON SESSION

　　SECTION C – WRITTEN ANSWER

　　Course 6: Spring 2004 - 1 - GO ON TO NEXT PAGE

　　Afternoon Session

　　**BEGINNING OF EXAMINATION**

　　AFTERNOON SESSION

　　8. (4 points) Describe the practical difficulties that may be encountered while implementing

　　an asset allocation optimization model.

　　9. (5 points) You are given the following information about a universe of securities:

　　 Rf : 0.0300

　　 ( ) E RM : 0.0700

　　 2

　　s M : 0.0450

　　The market covariance grid is:

　　Security Market Weight Covariance Matrix

　　A 0.35 9% 2% 2% 8%

　　B 0.25 2% 12% 1% 2%

　　C 0.25 2% 1% 3% 5%

　　D 0.15 8% 2% 5% 12%

　　(a) Calculate the market price of risk.

　　(b) Calculate the contribution to the variance of the market portfolio for securities

　　B and D.

　　(c) Calculate the equilibrium expected rate of return for securities B and D.

　　Show all work.

　　Course 6: Spring 2004 - 2 - GO ON TO NEXT PAGE

　　Afternoon Session

　　10. (6 points) You are given the following with respect to T-bills issued on February 1,

　　2004:

　　Term to Maturity Spot Price

　　1 month 98.50

　　2 months 98.40

　　3 months 98.20

　　4 months 98.00

　　A futures contract is available for delivery of a 3-month T-bill on March 1, 2004.

　　(a) Compare forward contracts to futures contracts.

　　(b) Determine the implied price of the futures contract.

　　(c) Recommend an arbitrage strategy to be implemented on February 1, 2004 if the

　　market price of the futures contract at that time is 97.5. Calculate the profit and

　　cash flows each month until all contracts are mature.

　　Show all work.

　　11. (6 points) You are given the following with respect to a one-period interest rate

　　contingent claim:

　　 martingale probability: 50%

　　 variance of the security: 0.2755%

　　 risk- free rate: 5%

　　 payment if interest rates go up: 105

　　 payment if interest rates go down: 95

　　(a) Calculate the martingale security price.

　　(b) Calculate the “true” market price of risk.

　　(c) Calculate the “true” probability.

　　Show all work.

　　Course 6: Spring 2004 - 3 - GO ON TO NEXT PAGE

　　Afternoon Session
　　高顿网校之考试箴言汇集：慈悲是你*4的武器。

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