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北美精算师02年11月份考试真题大纲November2002Course8V（第三堂课程）

来源：高顿网校 2014-08-26

　　高顿网校2014年资料库有北美精算师02年11月份考试真题大纲November2002Course8V（第三堂课程），赶紧来温习啊。
　　8. (5 points) You have been asked to evaluate the interest rate generator that your company

　　uses for scenario testing. The current model is the CIR model and you are considering

　　building the HJM model. The model would be used to simulate results for a new

　　portfolio that includes both callable and non-callable corporate bonds, and mortgagebacked

　　securities on the asset side and interest-sensitive annuities on the liability side.

　　The actuaries need to test the adequacy of your asset- liability matching. They will do so

　　by generating stochastic interest rates to ensure that assets are sufficient to cover

　　liabilities under each stochastic interest rate scenario.

　　(a) Evaluate which interest rate generator would be most appropriate.

　　(b) Assess the key aspects of the assets and liabilities needed to be modeled, given an

　　interest rate generator.

　　(c) Highlight the points where you should pay more attention to avoid model risk,

　　given the scope of the work.

　　**END OF EXAMINATION**

　　MORNING SESSION

　　COURSE 8: Fall 2002 - 9 - GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　**BEGINNING OF EXAMINATION**

　　AFTERNOON SESSION

　　Beginning With Question 9

　　9. (3 points) As a research analyst, you have been asked to investigate the political risk

　　factors that arise when investing in international equities.

　　Using only the model developed by Marvin Zonis:

　　(a) Describe how the following factors affect political stability and the

　　capacity for economic success:

　　(i) rental income

　　(ii) trauma

　　(iii) Gross Domestic Product (GDP) per capita.

　　(b) Rank the following countries in terms of political stability and the

　　capacity for economic success from highest to lowest. Justify your answer.

　　Factor Infant Mortality

　　(per 1000)

　　GDP

　　(per capita)

　　Oil Revenues

　　(billions)

　　Country A 1.0 750 70

　　Country B 1.1 800 100

　　Country C 1.2 1200 80

　　(c) Describe the other factors identified in the model developed by Marvin Zonis.

　　COURSE 8: Fall 2002 - 10 - GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　10. (3 points) You are given the following information for a bond portfolio with a current

　　market value of $5 billion.

　　Change in Market Value for a 1 Basis Point Rate Increase

　　1-Year Rate 2-Year Rate 3-Year Rate 4-Year Rate 5-Year Rate

　　-$3.5 million -$1.4 million -$2.8 million -$2.5 million -$0.7 million

　　Factor Loadings for U.S. Treasury Principal Components (PC)

　　1-Year 2-Year 3-Year 4-Year 5-Year

　　PC 1 0.44 0.44 0.44 0.44 0.44

　　PC 2 -0.80 -0.25 0.05 0.35 0.42

　　PC 3 0.43 -0.69 -0.22 0.08 0.52

　　1-Month Standard Deviation of Factor Scores

　　PC 1 PC 2 PC 3

　　17 basis points 6 basis points 3 basis points

　　Historical data has shown that factor scores for each principal component are independent

　　from each other.

　　Calculate the 1-month 99% VaR using “Principal Components Analysis” and the above

　　data.

　　COURSE 8: Fall 2002 - 11 - GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　11. (5 points) Your life insurance company client currently uses passthrough mortgage

　　securities to back its GIC portfolio. There are two main types of mortgage securities

　　available:

　　(i) recently issued premium coupon mortgages

　　(ii) seasoned discount coupon mortgages

　　You have been asked to evaluate the use of PACs as an alternative investment strategy.

　　Your client has been offered:

　　? 10 year PACs issued in 1997 based on 8% mortgages with 85% to 300%

　　PSA collars

　　? 5 year PACs issued in 2002 based on 6% mortgages with 85% to 300%

　　PSA collars

　　(a) Assess the likely impact of a decrease in short term interest rates of 100 basis

　　points on prepayment rates for each of the two types of passthrough mortgage

　　securities.

　　(b) Predict the likely impact of the prepayment rate change described in (a) on your

　　client’s cash flows and net income.

　　(c) List and explain the items you would consider in evaluating the suitability of any

　　given PAC.

　　(d) Recommend the PAC that will provide the better match for a 5 year GIC issued in

　　2002.

　　COURSE 8:Fall 2002 -12- GO ON TO NEXT PAGE

　　Investment

　　Afternoon Session

　　12. (7 points) A multinational non-financial company is exposed to foreign currency and

　　commodity price risks. You have been asked by the company to help them understand

　　and manage these risks.

　　(a) Describe the different kinds of exposure faced by a non- financial company using

　　an example of a negative impact for each one.

　　(b) Recommend whether or not the company should manage these strategic risks.

　　(c) Describe the following risks associated with the use of derivatives and propose

　　ways to mitigate them:

　　(i) operational risk

　　(ii) legal risk
　　生活就像海洋，只有意志坚强的人，才能到达彼岸。——高顿网校名人哲学

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