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SOA真题北美精算师往年珍藏版——Course6May2005（第四课）

来源：高顿网校 2014-08-07

　　请认真看并仔细记住其中的纲要：SOA真题北美精算师往年珍藏版——Course6May2005（第四课），对2014年11月的北美精算师考试特有帮助。
　　20. X. Spread analysis I. Compares the total return and

　　duration of various assets

　　Y. Relative return value analysis II. Analyzes prices and yields by bond

　　market sector

　　III. Uses regression to determine

　　portfolio expectations

　　Course 6: Spring 2005 - 22 - GO ON TO NEXT PAGE

　　Morning Session

　　21-26. Questions 21 through 26 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.

　　21.

　　ASSERTION

　　Discounting the scheduled stream

　　of cash flows by the forward rates

　　provides the market value of a

　　callable bond.

　　BECAUSE

　　REASON

　　Forward rates can be used to

　　determine the value of any stream

　　of fixed cash flows.

　　22.

　　ASSERTION

　　As interest rates increase, the

　　effective duration of a callable

　　bond decreases.

　　BECAUSE

　　REASON

　　Effective duration recognizes the

　　fact that yield changes may

　　change the expected cash flows.

　　Course 6: Spring 2005 - 23 - GO ON TO NEXT PAGE

　　Morning Session

　　23.

　　ASSERTION

　　Value-at-risk models have

　　limited ability to capture the risks

　　of exceptional market events.

　　BECAUSE

　　REASON

　　Value-at-risk models use average

　　historical correlations among asset

　　prices to make statistical

　　assessments.

　　24.

　　ASSERTION

　　FASB 87 requires both pension

　　assets and liabilities to be marked

　　to market.

　　BECAUSE

　　REASON

　　Prior to FASB 87, any underfunding

　　of a pension plan was

　　reported in the footnotes to the

　　financial statements.

　　25.

　　ASSERTION

　　A callable bond has positive

　　convexity.

　　BECAUSE

　　REASON

　　A callable bond may be viewed as

　　a long position in a bond and a

　　long position in an option.

　　26.

　　ASSERTION

　　An Arrow-Debreu security pays

　　one unit in one state of nature and

　　nothing in all other states.

　　BECAUSE

　　REASON

　　The single-period securities

　　market model is arbitrage free if

　　and only if there exists a state

　　price vector.

　　Course 6: Spring 2005 - 24 - GO ON TO NEXT PAGE

　　Morning Session

　　27. You are given the following:

　　Country Expected One-year Investment Return

　　U.S. 4%

　　China 6%

　　The current exchange rate is 8.27 Chinese RMB per U.S. Dollar.

　　Calculate the no-arbitrage one-year future exchange rate.

　　(A) 8.11

　　(B) 8.29

　　(C) 8.43

　　(D) 8.60

　　(E) 8.77

　　Course 6: Spring 2005 - 25 - GO ON TO NEXT PAGE

　　Morning Session

　　THIS PAGE INTENTIONALLY LEFT BLANK

　　Course 6: Spring 2005 - 26 - GO ON TO NEXT PAGE

　　Morning Session

　　28. You are given the following for a binomial option pricing model:

　　? Length of interval: 4 years

　　? Annual volatility: 0.5

　　? Annual interest rate: 5.0%

　　Calculate the probability value q .

　　(A) 0.15

　　(B) 0.36

　　(C) 0.64

　　(D) 0.68

　　(E) 0.88

　　Course 6: Spring 2005 - 27 - GO ON TO NEXT PAGE

　　Morning Session

　　THIS PAGE INTENTIONALLY LEFT BLANK

　　Course 6: Spring 2005 - 28 - GO ON TO NEXT PAGE

　　Morning Session
　　逆水行舟用力撑，一篙松劲退千寻；古云“此日足可惜”，吾辈更应惜秒阴。——高顿网校精品语录

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