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【北美精算师】SOA历年真题November2001Course8V（二）

来源：高顿网校 2014-07-21

　　今天高顿网校小编汇总了【北美精算师】SOA历年真题November2001Course8V（二），供大家参考。供大家备战精算师10月份考试专用的。
　　3. (Continued)

　　(c) (6 points)

　　(i) Calculate the 1-day, 99%VAR on the portfolio, before and after the hedge is

　　applied using delta and gamma to approximate it.

　　(ii) Assess the validity of these numbers.

　　(d) (4 points) LifeCo is worried about the liquidity of the 30-year Treasury bond

　　future.

　　(i) Analyse the effectiveness of the proposed hedges with respect to rho.

　　(ii) Propose alternative methods and alternative assets to improve rho exposure

　　coverage.

　　(e) (5 points) The newly appointed Chief Risk Officer is concerned about the use of

　　derivatives in the hedging strategy. Verify that the operational and credit risks of

　　managing derivatives have been adequately covered by LifeCo’s operational

　　guidelines for use of derivatives.

　　COURSE 8: Investment - 6 - GO ON TO NEXT PAGE

　　November 2000

　　Morning Session

　　4. (6 points) You have the following market information:

　　? Price of a 2-year zero coupon bond: 89

　　? 1-year short rate i0 b g: 7%

　　A new actuarial student in your company has implemented an interest rate model to price

　　interest rate derivatives. His model gives the following results:

　　Sample space i1

　　w1 6.0%

　　w 2 8.0%

　　(a) Describe the different types of model risk that must be considered when building

　　or using a model.

　　(b) Explain the concept of arbitrage-free in the context of an interest rate model for

　　pricing derivatives.

　　(c) Assess the validity of the proposed model given the information above.

　　5. (4 points)

　　(a) Describe how the following factors will generally impact the Option-Adjusted

　　Spread (OAS) of a Planned Amortization Class (PAC) for a typical PAC bond.

　　(i) Average life of the PAC

　　(ii) Premium versus discount collateral

　　(iii) Lockout versus no lockout

　　(iv) Window length

　　(v) Whether or not a Z-bond funds the PAC

　　(b) Describe the shortcomings associated with OAS in evaluating mortgage-backed

　　securities.

　　(c) Describe how you would use OAS, considering the shortcomings.

　　COURSE 8: Investment - 7 - GO ON TO NEXT PAGE

　　November 2000

　　Afternoon Session

　　6. (5 points) You are given the following information on a European put option on a bond:

　　? Put option

　　? Maturity of option 1 year

　　? Strike price level 1000

　　? Underlying bond

　　? Cash price 1000

　　? Present value of bond coupon payments 100

　　? 1 year forward yield volatility 10%

　　? Modified duration 10 years

　　? Forward yield 7%

　　? Risk-free rates are flat at 5.13%

　　(a) Calculate the price of this option using Black’s model. Show your work.

　　(b) Contrast alternatives for calculating delta and gamma for this option with a stock

　　option.

　　7. (4 points)

　　(a) Describe the psychological factors that prevent rational investment decisionmaking.

　　(b) List five major anomalies which the standard paradigm of rationality fails to

　　explain. Give an example for each case and specify the key behavioral factors

　　that explain such anomalies.

　　** END OF EXAMININATION **

　　MORNING SESSION

　　COURSE 8: Investment - 8 - GO ON TO NEXT PAGE

　　November 2000

　　Afternoon Session

　　** BEGINNING OF EXAMINATION **

　　AFTERNOON SESSION

　　Beginning with question 8

　　8. (4 points) As a product development actuary you have been asked to research and

　　develop an Equity Indexed Annuity (EIA) product.

　　(a) Describe the basic product features of an EIA.

　　(b) Recommend and justify an investment strategy for the EIA product.

　　(c) Describe the potential risks associated with an EIA and the investment strategy

　　you have recommended in (b).

　　COURSE 8: Investment - 9 - GO ON TO NEXT PAGE

　　November 2000

　　Afternoon Session
　　高顿网校之精品语录：青春，就像受赞美的春天。 —— 勃特勒

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