烦请来自四面八方的亲们届临高顿网校来查看——精算师专业辅导——SOA考题练习3
　　1-5. Each of questions 1 through 5 consists of two lists. In the list at the left are two items,
　　lettered X and Y. In the list at the right are three items, numbered I, II and III. ONE of
　　the lettered items is related in some way to EXACTLY TWO of the numbered items.
　　Indicate the related items using the following answer code:
　　Lettered Item
　　Is Related to Numbered Items
　　(A)
　　X
　　I and II only
　　(B)
　　X
　　II and III only
　　(C)
　　Y
　　I and II only
　　(D)
　　Y
　　I and III only
　　(E)
　　The correct answer is not given by (A), (B), (C) or (D).
 
　　1. X. Yield-to-maturity return method I. Requires an explicit reinvestment
　　rate assumption
　　Y. Total return method II. Is commonly used for pricing and
　　trading
　　III. Ignores the capital gain or loss from
　　security sales
 
　　2. X. Effective duration matching I. Very expensive to implement
　　Y. Cash flow matching II. Only works for small changes in
　　interest rates
　　III. Accounts for options embedded in
　　the assets and liabilities
　　Course 6: Spring 2005 - 9 - GO ON TO NEXT PAGE
　　Morning Session
　　May2005ExamC
 
　　3. X. Tracking error of 68 basis points I. Assuming a normal distribution, there
　　is a 68% probability that the portfolio
　　return over the next year will be
　　within one standard deviation of the
　　annualized benchmark return
　　Y. Portfolio β of 68% II. The portfolio has less volatility than
　　the benchmark
　　III. Expect a 68 basis point increase in the
　　portfolio return if there is a 100 basis
　　point increase in the benchmark return
 
　　4. X. Planned amortization classes I. Priced at tighter spreads to the
　　Treasury curve than sequential-pay
　　bonds
　　Y. Accretion-directed classes II. Redirect principal only
　　III. Complete protection against
　　extension of average life if interest
　　rates rise
 
　　5. X. Increase in volatility I. Decreases the value of a putable
　　bond
　　Y. Decrease in volatility II. Increases the value of a call option
　　III. For a given price, increases the
　　option-adjusted spread for a putable
　　bond
　　Course 6: Spring 2005 - 10 - GO ON TO NEXT PAGE
　　Morning Session
　　6-10. Questions 6 through 10 consist of an assertion in the left-hand column and a reason in the
　　right-hand 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.
　　(C) If the assertion is a true statement, but the reason is a false statement.
　　(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.
 
　　6.
　　ASSERTION
　　Returns on the S&P 500 stock
　　index are not affected by stock
　　splits.
　　BECAUSE
　　REASON
　　Returns on market-value-weighted
　　indices are based on holding
　　investments in proportion to their
　　market values.
 
　　7.
　　ASSERTION
　　The extended Vasicek model is
　　able to provide an exact fit to the
　　current term structure of interest
　　rates.
　　BECAUSE
　　REASON
　　The drift term in the extended
　　Vasicek model is time-independent.
　　Course 6: Spring 2005 - 11 - GO ON TO NEXT PAGE
　　Morning Session
　　高顿网校之谚语相赠：我们活在世上不是为自己而向生活索取什么，而是试图使别人生活得更幸福。 —— 奥斯勃