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2005年度5月份SOA北美精算师真题汇集ExamC（第七块内容）

来源：高顿网校 2014-08-08

　　把考试要点用心镌刻在脑子里呀——2005年度5月份SOA北美精算师真题汇集ExamC（第七块内容），步步为营肯定及格。
　　11. (5 points) With respect to numerical interest rate risk management techniques,

　　(i) List and define the common techniques

　　(ii) Describe the key shortfalls of each common technique

　　Base your answer on the Canadian Institute of Actuaries Educational Note “Measurement

　　of Exposure to Interest Rate Risk”.

　　12. (6 points) Company ABC has an international fund that is benchmarked against an

　　external index. You are given the following with respect to a benchmark portfolio and

　　ABC’s fund manager’s portfolio:

　　Market

　　Benchmark

　　Weight

　　Return on

　　Equity Index

　　Currency

　　Appreciation

　　Fund Manager’s

　　Weight

　　Fund Manager’s

　　Equity Return

　　Asian 40% 10% 20% 35% 12%

　　European 25% 5% -10% 7%

　　Australian 35% 7% 25% 20%

　　(a) Describe the risks that are unique to international investments.

　　(b) The fund manager’s portfolio return matched the return of the index. Determine

　　the amount that the fund manager invested in the European and Australian

　　markets.

　　(c) For your portfolio, calculate the individual impacts of each of the following:

　　(i) Currency selection

　　(ii) Country selection

　　(iii) Stock selection

　　Show all work.

　　Course 6: Spring 2005 -38- GO ON TO NEXT PAGE

　　Afternoon Session

　　13. (5 points) You are given the following with respect to an 8-year, 6%, sequential-pay

　　CMO:

　　Tranche Initial Balance

　　1 20,000

　　2 35,000

　　3 65,000

　　? The annual payment required to amortize the CMO over eight years is 19,324.31.

　　? The actual cash flows are as follows:

　　Year

　　Interest

　　Payment

　　Required Principal

　　Payment

　　Additional

　　Principal Payment

　　Outstanding

　　Balance

　　0 120,000.00

　　1 7,200.00 12,124.31 1,078.76 106,796.93

　　2 6,407.81 12,916.50 1,877.61 92,002.82

　　3 5,520.17 13,804.14 2,345.96 75,852.72

　　4 4,551.16 14,773.15 2,443.18 58,636.39

　　5 3,518.18 15,806.13 2,141.51 40,688.75

　　6 2,441.32 16,882.99 1,190.29 22,615.47

　　7 1,356.92 17,967.39 185.92 4,462.16

　　8 267.73 4,462.16 0.00 0.00

　　(a) Describe the types of CMO structures.

　　(b) Calculate the outstanding balance for each tranche at the end of each year.

　　(c) Calculate the interest allocated to each tranche for each of the first three years.

　　Show all work.

　　Course 6: Spring 2005 -39- STOP

　　Afternoon Session

　　14. (4 points)

　　(a) Describe the criteria for selecting an interest rate generator.

　　(b) Describe the characteristics of

　　(i) a lognormal process

　　(ii) a mean reversionary lognormal process

　　(c) Describe the steps used in the Markov chain process to generate interest rates.

　　15. (4 points)

　　(a) Describe the advantages and disadvantages of using stochastic simulation when

　　pricing derivative securities.

　　(b) Describe the techniques that are available to reduce variance when using Monte

　　Carlo simulation.

　　**END OF EXAMINATION**
　　为着品德而去眷恋一个情人，总是一件很美的事。——高顿网校名人哲学

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