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北美精算师2002年5月份考试Course6课程的第四节内容发布

来源：高顿网校 2014-08-26

　　北美精算师2002年5月份考试Course6课程的第四节内容发布，大家请再接再厉，拿下月的考试哦！
　　12. X. Decreasing yield rates I. Increases the effective maturity of a

　　callable bond.

　　Y. Higher coupon rate II. Increases the effective maturity of a

　　putable bond.

　　III. Increases the effective duration of a

　　non-callable bond.

　　13. X. Prepayment risk modeling I. The principles of arbitrage cannot be

　　relied on to ensure that the valuation

　　will be correct.

　　Y. Low-discrepancy method II. Arc tangent functions are commonly

　　used.

　　III. Takes into account path

　　dependencies in the cash flows.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　14. X. Parallel shift interest rate

　　generators

　　I. Based on lognormal or Markov

　　chain processes.

　　Y. Non-parallel shift interest rate

　　generators

　　II. Used for New York 7 scenarios.

　　III. Works well with classical

　　immunization theory.

　　15. X. Contingent immunization I. Reduces the risk associated with

　　nonparallel shifts of a sloped yield

　　curve.

　　Y. Combination matching II. Liquidity needs are provided for in

　　the initial cash flow matched period.

　　III. A blend of active management with

　　immunization.

　　16. X. Risk Based Capital planning I. Reduce outstanding short-term debt.

　　Y. Liquidity planning II. Portfolio diversification.

　　III. Public perception management.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　17-25. These questions consist of an assertion in the left-hand column and a reason in the righthand

　　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.

　　17. ASSERTION

　　Commercial mortgage-backed

　　securities have higher

　　prepayment risks than residential

　　mortgage-backed securities.

　　BECAUSE

　　REASON

　　Commercial mortgage-backed

　　securities are often balloon loans.

　　18. ASSERTION

　　A portfolio consisting of

　　negatively correlated assets offers

　　better risk-return opportunities

　　than individual component

　　securities on their own.

　　BECAUSE

　　REASON

　　The standard deviation of a

　　portfolio is less than the weighted

　　average of the standard deviations

　　of its component securities.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　19. ASSERTION

　　Under CAPM, the standard

　　deviation of the return of a

　　security is the critical element in

　　calculating the price of that

　　security.

　　BECAUSE

　　REASON

　　Under CAPM, all investors are

　　assumed to be rational meanvariance

　　optimizers.

　　20. ASSERTION

　　For a callable bond, the

　　difference between effective and

　　modified durations decreases as

　　interest rates increase.

　　BECAUSE

　　REASON

　　The probability of a callable bond

　　being called decreases as interest

　　rates increase.

　　21. ASSERTION

　　Convertible bonds offer upside

　　equity potential with downside

　　protection.

　　BECAUSE

　　REASON

　　Convertible bonds have a lower

　　yield relative to non-convertible

　　bonds.

　　22. ASSERTION

　　Generally, a valuation model

　　with two or more factors is

　　implemented by simulation.

　　BECAUSE

　　REASON

　　Simulation permits the inclusion

　　of path dependency in the cash

　　flows of the instrument.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　17-25. These questions consist of an assertion in the left-hand column and a reason in the righthand

　　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.

　　23. ASSERTION

　　Option exposures can be

　　managed by matching expected

　　asset and liability cash flows.

　　BECAUSE

　　REASON

　　The asset and liability cash flow

　　matching technique determines a

　　dollar value for the interest rate

　　exposures that exist.

　　24. ASSERTION

　　Option-based portfolio insurance

　　strategies are time variant.

　　BECAUSE

　　REASON

　　With respect to option-based

　　portfolio insurance strategies, the

　　optimal mix of risky and riskless

　　positions depends on the time left

　　before the horizon is reached.
　　抱*5的希望，为*5的努力，做最坏的打算。——高顿网校考试励志

扫一扫微信，关注精算师*7考试动态

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