备战精算师的朋友们，我们这厢有礼啦，高顿网校的小编在这里给你们作揖啦。
　　Course 6: Spring 2005 - 1 - GO ON TO NEXT PAGE
　　Morning Session
　　COURSE 6
　　MORNING SESSION
　　SECTION A – WRITTEN ANSWER
 
　　Course 6: Spring 2005 - 2 - GO ON TO NEXT PAGE
　　Morning Session
　　**BEGINNING OF EXAMINATION**
　　MORNING SESSION
　　1. (5 points) Your company is *uating active and quasi-passive investment strategies for
　　bond portfolio management.
　　(a) Define each quasi-passive indexation approach.
　　(b) Describe the advantages and disadvantages of each quasi-passive indexation
　　approach.
　　(c) Explain the reasons your company would consider an active investment strategy.
　　(d) Describe the sector and security strategies that an active investment manager
　　would use to select individual bonds.
　　2. (7 points) Your company is offering a 15-year term-certain immediate annuity with
　　payments linked to the CPI. Policyholders can withdraw funds on demand at market
　　values.
　　The universe of available investments consists of the following:
　　? Short-term T-bills
　　? Real return public bonds
　　? Corporate bonds
　　? Real estate
　　(a) Outline the advantages and disadvantages of each investment for backing this
　　annuity.
　　(b) Recommend an investment strategy using the investments available.
　　(c) Describe the major components of an accumulated cash flow scenario-based
　　model.
　　(d) Outline the major components of the investment policy statement for this product.
　　Course 6: Spring 2005 - 3 - GO ON TO NEXT PAGE
　　Morning Session
　　3. (5 points) You are given the following information:
　　Bond Term Effective Duration Effective Convexity
　　A 5 3.1 -41.7
　　B 5 4.5 23.4
　　C 5 4.2 21.3
　　D 5 2.7 64.5
　　The option and price characteristics of Bonds A, B, C and D are as follows:
　　? one bond is option-free with a current price above par
　　? one bond is option-free with a current price below par
　　? one bond is callable, priced at par
　　? one bond is putable, priced at par
　　(a) Determine the option and price characteristics corresponding to each of Bonds A,
　　B, C and D. Explain your answer.
　　(b) Assess the limitations of duration as an interest rate risk measure.
　　(c) Define convexity. Compare effective convexity and modified convexity.
　　(d) Calculate the approximate percentage price change for Bonds A and B assuming a
　　decrease in yield of 0.50%.
　　Show all work.
　　Course 6: Spring 2005 - 4 - GO ON TO NEXT PAGE
　　Morning Session
　　4. (10 points) You are given the following with respect to treasury securities as of today,
　　May 13, 2005:
　　Security Years to Maturity
　　Annual Coupon Rate
　　Paid Semi-annually Yield-to-maturity
　　A 0.5 0% 3.0%
　　B 1.0 0% 3.2%
　　C 1.5 6% 3.5%
　　D 2.0 5% 3.6%
　　(a) Calculate the spot rate for each maturity date.
　　(b) Explain how arbitrage profits could be made from coupon stripping.
　　(c) Calculate the one-year forward rate, one year from today.
　　(d) With respect to the pure expectations theory
　　(i) Describe the theory
　　(ii) Describe the interpretations of the theory that have been put forth by
　　economists
　　(iii) Explain the shortcomings of the theory
　　(e) With respect to other theories of term structure of interest rates:
　　(i) Briefly describe each theory
　　(ii) Using each theory, compare the one-year spot on May 13, 2006, with the
　　one-year forward rate calculated in (c)
　　Show all work.
 
　　Course 6: Spring 2005 - 5 - GO ON TO NEXT PAGE
　　Morning Session
　　May2005ExamC
　　高顿网校之名人信念：没有青春的爱情有何滋味？没有爱情的青春有何意义。 —— 拜伦