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精算师2002年北美考区5月份真题放送：Course6（五）

来源：高顿网校 2014-08-26

　　下面高顿网校帅锅小编贴出来的是精算师2002年北美考区5月份真题放送：Course6（五）。
　　25. ASSERTION

　　The Multiple Asset Performance

　　strategy is equivalent to

　　purchasing an option that allows

　　the buyer to choose the asset to

　　call or buy at a guaranteed price.

　　BECAUSE

　　REASON

　　A Multiple Asset Performance

　　option valuation-based approach

　　does not require asset return

　　forecasts.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　26. You are given the following information with respect to a callable bond:

　　? par amount: 1,000

　　? term to maturity: 3 years

　　? annual coupon rate: 6% payable annually

　　? value of embedded call option: 20

　　Term Annual Spot Interest Rates

　　1 7%

　　2 8%

　　3 9%

　　Calculate the value of the bond.

　　(A) 906

　　(B) 926

　　(C) 930

　　(D) 950

　　(E) 1,000

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　27. You are given the following information with respect to a non-callable bond:

　　? par amount: 1,000

　　? term to maturity: 4 years

　　? annual coupon rate: 8% payable annually

　　1-Year Annual Forward Interest Rates

　　Time

　　Scenario X Scenario Y

　　0 7% 7%

　　1 7% 6%

　　2 8% 7%

　　3 10% 5%

　　Each interest rate scenario has an equal probability of occurring.

　　Calculate the value of the bond.

　　(A) 1,000.00

　　(B) 1,018.40

　　(C) 1,022.80

　　(D) 1,030.39

　　(E) 1,031.07

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　28. You are given the following information with respect to a multiplicative binomial

　　branching model:

　　? the short rate one year from now will be either:

　　r r gamma t

　　u

　　+ t = ? + 1 b1 g , or

　　r r gamma t

　　d

　　+ t = ? + 1 b1 g , with equal probability

　　? volatility: 20%

　　? current short term interest rate: 6%

　　? notional amount of a 2-year interest rate collar: 100

　　Calculate the value of a 2-year interest rate collar with strike levels of 5% and 8%.

　　(A) 0.141

　　(B) 0.187

　　(C) 0.328

　　(D) 0.348

　　(E) 0.368

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　29. You are given the following information:

　　? expected market return: 12%

　　? standard deviation of market return: 10%

　　? risk-free rate: 4%

　　? utility function of the investor: U E R

　　R

　　M M

　　= ( ) - M

　　s( )2

　　5

　　Calculate the optimal percentage the investor would invest in the market.

　　(A) 10%

　　(B) 20%

　　(C) 30%

　　(D) 40%

　　(E) 50%

　　COURSE 6: MAY 2002 m END OF EXAMINATION

　　MORNING SESSION

　　30. You are given the following information:

　　? immunization target: 9.0%

　　? minimum return acceptable to the fund sponsor: 6.0%

　　? worst case return for an actively managed portfolio: 2.5%

　　Calculate the minimum proportion of the initial portfolio (X) that should be actively

　　managed.

　　(A) X < 40%

　　(B) 40% ? X < 45%

　　(C) 45% ? X < 50%

　　(D) 50% ? X < 55%

　　(E) 55% ? X < 60%

　　**END OF COURSE 6**

　　MORNING SESSION

　　COURSE 6

　　AFTERNOON SESSION

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　AFTERNOON SESSION

　　**BEGINNING OF COURSE 6**

　　AFTERNOON SESSION

　　Beginning with question 8

　　8. (4 points) Describe the risks associated with investing in fixed income securities.

　　9. (5 points) You are given the following information:

　　Projected Cash Flows

　　Duration

　　Year 1 Year 2 Year 3 Year 4 Year 5

　　Liabilities 4.2 210 69 445 180 1980

　　Assets 4.3 194 254 41 200 2200

　　Universe of available assets for investment:

　　? 90-day T-bills

　　? 2-year bonds with annual coupons of 5%

　　? 3-year bonds with annual coupons of 6%

　　? 5-year bonds with annual coupons of 10%

　　Determine the necessary asset transactions to cash flow match the projected liability cash

　　flows.

　　Show all work.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　AFTERNOON SESSION

　　10. (8 points) The Chief Financial Officer (CFO) of a large corporation is considering

　　offering an innovative “collared floater” with the following features:

　　? value at issue: par

　　? par amount: 10 million

　　? term to maturity: 5 years

　　? coupon: semi-annual payment and reset, 6-month LIBOR + 0.50%

　　? minimum coupon: 7.5%

　　? maximum coupon: 12.5%

　　The CFO intends to use derivative instuments to convert this collared floater into

　　synthetic fixed-rate funding. The following quotes for five-year, semi-annual settlement

　　interest rate swaps, caps and floors on 6-month LIBOR are obtained from a market maker

　　in derivative products:

　　Bid Ask

　　Swaps for LIBOR 8.65% 8.75%

　　Interest Rate Cap at 12.0% 0.65% 0.75%

　　Interest Rate Cap at 12.5% 0.50% 0.60%

　　Interest Rate Cap at 13.0% 0.35% 0.45%

　　Interest Rate Floor at 7.0% 0.80% 0.90%

　　Interest Rate Floor at 7.5% 0.95% 1.05%

　　Interest Rate Floor at 8.0% 1.10% 1.20%

　　(a) Determine the specific combination of transactions which result in a synthetic

　　fixed rate of funding.

　　(b) Explain why this combination works.

　　(c) Calculate the effective (all-in) interest cost for this synthetic fixed-rate funding.

　　(d) Identify the situations when credit risk is a concern to the corporation in this

　　transaction.

　　Show all work.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　AFTERNOON SESSION

　　11. (6 points)

　　(a) Define a floating-rate security and describe its features.

　　(b) Describe the yield spread measures used to evaluate floating-rate securities.

　　(c) Describe the factors affecting the price of floating-rate securities.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　AFTERNOON SESSION
　　家！甜蜜的家！天下最美好的莫过于家。——高顿网校名言警句

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