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北美精算师考试SOA真题Course6（May2005的第二块内容）

来源：高顿网校 2014-08-07

　　8月7日立秋时节，高顿网校小编汇总了北美精算师考试SOA真题Course6（May2005的第二块内容），供大家复习参考。
　　7. (4 points) Outline the risks faced by a U.S. investor in purchasing a 10-year privatelyplaced

　　U.S. corporate callable bond.

　　Course 6: Spring 2005 - 7 - GO ON TO NEXT PAGE

　　Morning Session

　　COURSE 6

　　MORNING SESSION

　　SECTION B – MULTIPLE CHOICE

　　Course 6: Spring 2005 - 8 - GO ON TO NEXT PAGE

　　Morning Session

　　1-5. Each of questions 1 through 5 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)

　　I and II only

　　(B)

　　II and III only

　　(C)

　　I and II only

　　(D)

　　I and III only

　　(E)

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

　　1. X. Yield-to-maturity return method I. Requires an explicit reinvestment

　　rate assumption

　　Y. Total return method II. Is commonly used for pricing and

　　trading

　　III. Ignores the capital gain or loss from

　　security sales

　　2. X. Effective duration matching I. Very expensive to implement

　　Y. Cash flow matching II. Only works for small changes in

　　interest rates

　　III. Accounts for options embedded in

　　the assets and liabilities

　　Course 6: Spring 2005 - 9 - GO ON TO NEXT PAGE

　　Morning Session

　　3. X. Tracking error of 68 basis points I. Assuming a normal distribution, there

　　is a 68% probability that the portfolio

　　return over the next year will be

　　within one standard deviation of the

　　annualized benchmark return

　　Y. Portfolio β of 68% II. The portfolio has less volatility than

　　the benchmark

　　III. Expect a 68 basis point increase in the

　　portfolio return if there is a 100 basis

　　point increase in the benchmark return

　　4. X. Planned amortization classes I. Priced at tighter spreads to the

　　Treasury curve than sequential-pay

　　bonds

　　Y. Accretion-directed classes II. Redirect principal only

　　III. Complete protection against

　　extension of average life if interest

　　rates rise

　　5. X. Increase in volatility I. Decreases the value of a putable

　　bond

　　Y. Decrease in volatility II. Increases the value of a call option

　　III. For a given price, increases the

　　option-adjusted spread for a putable

　　bond

　　Course 6: Spring 2005 - 10 - GO ON TO NEXT PAGE

　　Morning Session

　　6-10. Questions 6 through 10 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.

　　(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.

　　ASSERTION

　　Returns on the S&P 500 stock

　　index are not affected by stock

　　splits.

　　BECAUSE

　　REASON

　　Returns on market-value-weighted

　　indices are based on holding

　　investments in proportion to their

　　market values.

　　ASSERTION

　　The extended Vasicek model is

　　able to provide an exact fit to the

　　current term structure of interest

　　rates.

　　BECAUSE

　　REASON

　　The drift term in the extended

　　Vasicek model is time-independent.

　　Course 6: Spring 2005 - 11 - GO ON TO NEXT PAGE

　　Morning Session

　　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.

　　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.
　　我们若要生活，就该为自己建造一种充满感受、思索和行动的时钟，用它来代替这个枯燥、单调、以愁闷来扼杀心灵，带有责备意味和冷冷地滴答着的时间。——高顿网校考试励志

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