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05年5月份SOA往年真题北美地区精算师ExamC（四）

来源：高顿网校 2014-08-08

　　祈祷高顿网校全体的学员们05年5月份SOA往年真题北美地区精算师ExamC（四）能完全吃透。
　　12. You are given the following with respect to Stock X:

　　? Stock price today: 10

　　? Stock price one year from today: either 12 or 7

　　? Call option strike price: 11

　　The annual interest is 5%.

　　Calculate the no-arbitrage call option price on Stock X as of today.

　　(A) 0.67

　　(B) 0.74

　　(C) 1.40

　　(D) 1.47

　　(E) 3.33

　　Course 6: Spring 2005 - 15 - GO ON TO NEXT PAGE

　　Morning Session

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　　Course 6: Spring 2005 - 16 - GO ON TO NEXT PAGE

　　Morning Session

　　13. For a portfolio of investment-grade fixed-income securities, rank the following factors by

　　their impact on the portfolio return from greatest to least.

　　(A) Duration management, individual bond selection, sector selection

　　(B) Duration management, sector selection, individual bond selection

　　(C) Individual bond selection, duration management, sector selection

　　(D) Individual bond selection, sector selection, duration management

　　(E) Sector selection, individual bond selection, duration management

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

　　Stock Portfolio Proportion β

　　A 75% 1.25

　　B 25% 1.45

　　The market risk premium is 4%.

　　Calculate the risk premium of the portfolio.

　　(A) 5.0%

　　(B) 5.2%

　　(C) 5.4%

　　(D) 5.6%

　　(E) 5.8%

　　Course 6: Spring 2005 - 17 - GO ON TO NEXT PAGE

　　Morning Session

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　　Course 6: Spring 2005 - 18 - GO ON TO NEXT PAGE

　　Morning Session

　　15. You are given the following with respect to a portfolio of zero-coupon bonds:

　　Bond Current Value Maturity Value Time to Maturity

　　A 1000 1081.60 2 years

　　B 1000 1215.51 4 years

　　Calculate the yield-to-maturity for this portfolio.

　　(A) 4.3%

　　(B) 4.5%

　　(C) 4.7%

　　(D) 9.6%

　　(E) 10.0%

　　Course 6: Spring 2005 - 19 - GO ON TO NEXT PAGE

　　Morning Session

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　　Course 6: Spring 2005 - 20 - GO ON TO NEXT PAGE

　　Morning Session

　　16-20. Each of questions 16 through 20 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).

　　16. X. Bonds I. Residual claim

　　Y. Common stock II. Limited liability

　　III. Maturity date

　　17. X. Combination by formula I. Equivalent to purchasing an option

　　Y. Multiple asset performance II. Assumes that the immunization

　　target return exceeds either the

　　minimum return or the expected

　　worst case active return

　　III. Active management proportion will

　　vary inversely with the minimal

　　acceptable return

　　Course 6: Spring 2005 - 21 - GO ON TO NEXT PAGE

　　Morning Session

　　18. X. Immunization strategy I. Transactions are a function of

　　volatility and time

　　Y. Total-return strategy II. Explicitly considers real-world

　　constraints such as tax effects,

　　regulatory restrictions and GAAP

　　accounting

　　III. Manager may take advantage of a

　　perceived change in value in the

　　market

　　19. X. Rainbow options I. Knockout options

　　Y. Barrier options II. Based on the maximum or minimum

　　of the values of several assets

　　III. Often arise as part of a structured

　　security

　　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.
　　请记住，环境愈艰难困苦，就愈需要坚定毅力和信心，而且，懈怠的害处也就愈大。——高顿网校精品语录

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