有正在浏览此页的精算师学子咩？下面就是高顿网校小编赠送您的【精算师】考试辅导之SOA题干练习6。
　　May2005ExamC
　　21.
　　ASSERTION
　　Discounting the scheduled stream
　　of cash flows by the forward rates
　　provides the market value of a
　　callable bond.
　　BECAUSE
　　REASON
　　Forward rates can be used to
　　determine the value of any stream
　　of fixed cash flows.
 
　　22.
　　ASSERTION
　　As interest rates increase, the
　　effective duration of a callable
　　bond decreases.
　　BECAUSE
　　REASON
　　Effective duration recognizes the
　　fact that yield changes may
　　change the expected cash flows.
　　Course 6: Spring 2005 - 23 - GO ON TO NEXT PAGE
　　Morning Session
 
　　23.
　　ASSERTION
　　Value-at-risk models have
　　limited ability to capture the risks
　　of exceptional market events.
　　BECAUSE
　　REASON
　　Value-at-risk models use average
　　historical correlations among asset
　　prices to make statistical
　　assessments.
 
　　24.
　　ASSERTION
　　FASB 87 requires both pension
　　assets and liabilities to be marked
　　to market.
　　BECAUSE
　　REASON
　　Prior to FASB 87, any underfunding
　　of a pension plan was
　　reported in the footnotes to the
　　financial statements.
 
　　25.
　　ASSERTION
　　A callable bond has positive
　　convexity.
　　BECAUSE
　　REASON
　　A callable bond may be viewed as
　　a long position in a bond and a
　　long position in an option.
　　高顿网校之极品语录：生活不是局限于人类追求自己的实际目标所进行的日常行动，而是显示了人类参加到一种宇宙韵律中来，这种韵律以形形色色的方式证明其自身的存在。 —— 泰戈尔