高顿网校美女小编呼唤全国的准经济师们来复习历年经典真题May2005ExamC（1）——北美精算师考试SOA，考试心里就有底了。
　　Course6:Spring2005-1-GOONTONEXTPAGE
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　　COURSE6
　　MORNINGSESSION
　　SECTIONA–WRITTENANSWER
 
　　Course6:Spring2005-2-GOONTONEXTPAGE
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　　**BEGINNINGOFEXAMINATION**
　　MORNINGSESSION
　　1.(5points)Yourcompanyis*uatingactiveandquasi-passiveinvestmentstrategiesfor
　　bondportfoliomanagement.
　　(a)Defineeachquasi-passiveindexationapproach.
　　(b)Describetheadvantagesanddisadvantagesofeachquasi-passiveindexation
　　approach.
　　(c)Explainthereasonsyourcompanywouldconsideranactiveinvestmentstrategy.
　　(d)Describethesectorandsecuritystrategiesthatanactiveinvestmentmanager
　　wouldusetoselectindividualbonds.
　　2.(7points)Yourcompanyisofferinga15-yearterm-certainimmediateannuitywith
　　paymentslinkedtotheCPI.Policyholderscanwithdrawfundsondemandatmarket
　　values.
　　Theuniverseofavailableinvestmentsconsistsofthefollowing:
　　?Short-termT-bills
　　?Realreturnpublicbonds
　　?Corporatebonds
　　?Realestate
　　(a)Outlinetheadvantagesanddisadvantagesofeachinvestmentforbackingthis
　　annuity.
　　(b)Recommendaninvestmentstrategyusingtheinvestmentsavailable.
　　(c)Describethemajorcomponentsofanaccumulatedcashflowscenario-based
　　model.
　　(d)Outlinethemajorcomponentsoftheinvestmentpolicystatementforthisproduct.
　　Course6:Spring2005-3-GOONTONEXTPAGE
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　　3.(5points)Youaregiventhefollowinginformation:
　　BondTermEffectiveDurationEffectiveConvexity
　　A53.1-41.7
　　B54.523.4
　　C54.221.3
　　D52.764.5
　　TheoptionandpricecharacteristicsofBondsA,B,CandDareasfollows:
　　?onebondisoption-freewithacurrentpriceabovepar
　　?onebondisoption-freewithacurrentpricebelowpar
　　?onebondiscallable,pricedatpar
　　?onebondisputable,pricedatpar
　　(a)DeterminetheoptionandpricecharacteristicscorrespondingtoeachofBondsA,
　　B,CandD.Explainyouranswer.
　　(b)Assessthelimitationsofdurationasaninterestrateriskmeasure.
　　(c)Defineconvexity.Compareeffectiveconvexityandmodifiedconvexity.
　　(d)CalculatetheapproximatepercentagepricechangeforBondsAandBassuminga
　　decreaseinyieldof0.50%.
　　Showallwork.
 
　　Course6:Spring2005-4-GOONTONEXTPAGE
　　MorningSession
　　4.(10points)Youaregiventhefollowingwithrespecttotreasurysecuritiesasoftoday,
　　May13,2005:
　　SecurityYearstoMaturity
　　AnnualCouponRate
　　PaidSemi-annuallyYield-to-maturity
　　A0.50%3.0%
　　B1.00%3.2%
　　C1.56%3.5%
　　D2.05%3.6%
　　(a)Calculatethespotrateforeachmaturitydate.
　　(b)Explainhowarbitrageprofitscouldbemadefromcouponstripping.
　　(c)Calculatetheone-yearforwardrate,oneyearfromtoday.
　　(d)Withrespecttothepureexpectationstheory
　　(i)Describethetheory
　　(ii)Describetheinterpretationsofthetheorythathavebeenputforthby
　　economists
　　(iii)Explaintheshortcomingsofthetheory
　　(e)Withrespecttoothertheoriesoftermstructureofinterestrates:
　　(i)Brieflydescribeeachtheory
　　(ii)Usingeachtheory,comparetheone-yearspotonMay13,2006,withthe
　　one-yearforwardratecalculatedin(c)
　　Showallwork.
 
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　　高顿网校之金玉良言：良心是人生的根本。 —— 雷利