高顿网校小编热心提醒：请看到此贴的亲们把握好考试题型，并在考试中合理分配时间，考试还会不成功吗？
　　3.X.Trackingerrorof68basispointsI.Assuminganormaldistribution,there
　　isa68%probabilitythattheportfolio
　　returnoverthenextyearwillbe
　　withinonestandarddeviationofthe
　　annualizedbenchmarkreturn
　　Y.Portfolioβof68%II.Theportfoliohaslessvolatilitythan
　　thebenchmark
　　III.Expecta68basispointincreaseinthe
　　portfolioreturnifthereisa100basis
　　pointincreaseinthebenchmarkreturn
 
　　4.X.PlannedamortizationclassesI.Pricedattighterspreadstothe
　　Treasurycurvethansequential-pay
　　bonds
　　Y.Accretion-directedclassesII.Redirectprincipalonly
　　III.Completeprotectionagainst
　　extensionofaveragelifeifinterest
　　ratesrise
 
　　5.X.IncreaseinvolatilityI.Decreasesth*ueofaputable
　　bond
　　Y.DecreaseinvolatilityII.Increasesth*ueofacalloption
　　III.Foragivenprice,increasesthe
　　option-adjustedspreadforaputable
　　bond
　　Course6:Spring2005-10-GOONTONEXTPAGE
　　MorningSession
 
　　6-10.Questions6through10consistofanassertionintheleft-handcolumnandareasoninthe
　　right-handcolumn.Codeyouranswertoeachquestionbyblackeningspace:
　　(A)Ifboththeassertionandthereasonaretruestatements,andthereasonisacorrect
　　explanationoftheassertion.
　　(B)Ifboththeassertionandthereasonaretruestatements,butthereasonisNOTa
　　correctexplanationoftheassertion.
　　(C)Iftheassertionisatruestatement,butthereasonisafalsestatement.
　　(D)Iftheassertionisafalsestatement,butthereasonisatruestatement.
　　(E)Ifboththeassertionandthereasonarefalsestatements.
　　6.
　　ASSERTION
　　ReturnsontheS&P500stock
　　indexarenotaffectedbystock
　　splits.
　　BECAUSE
　　REASON
　　Returnsonmarket-value-weighted
　　indicesarebasedonholding
　　investmentsinproportiontotheir
　　marketvalues.
　　7.
　　ASSERTION
　　TheextendedVasicekmodelis
　　abletoprovideanexactfittothe
　　currenttermstructureofinterest
　　rates.
　　BECAUSE
　　REASON
　　Thedrifttermintheextended
　　Vasicekmodelistime-independent.
　　Course6:Spring2005-11-GOONTONEXTPAGE
　　MorningSession
　　8.
　　ASSERTION
　　Firm-widestresstestsare
　　reviewedfrequentlybutchanged
　　infrequently.
　　BECAUSE
　　REASON
　　Stresstestsmaybeusefully
　　appliedtomarketsinwhich
　　illiquidconditionsproduceasset
　　pricejumpsandimpedesecurities
　　tradingduringtimesofstress.
　　9.
　　ASSERTION
　　TheFHAexperiencemethodis
　　rarelyusedasaprepayment
　　model.
　　BECAUSE
　　REASON
　　TheFHAexperiencemethoddoes
　　notreflecttheeffectofageonprepayments.
　　10.
　　ASSERTION
　　Ifarisk-freeassetisavailable,
　　onlyaggressiveinvestorswillbe
　　affectedbyarestrictionon
　　borrowing.
　　BECAUSE
　　REASON
　　Aborrowingrestrictiondrives
　　aggressiveinvestorstoportfolios
　　ontheefficientfrontierofrisky
　　assets.
　　Course6:Spring2005-12-GOONTONEXTPAGE
　　MorningSession
　　11.Afixed-ratebondwithamarketvalueof20millionandadurationof4isseparatedinto
　　threebonds.Twoofthebondsarefloatersandthethirdisaninversefloater.
　　Youaregiventhefollowinginformationwithrespecttothefloaters:
　　FloaterMarketValueDuration
　　A16million1
　　B2million0.5
　　Calculatethedurationoftheinversefloater.
　　(A)2.50
　　(B)3.06
　　(C)3.15
　　(D)25.20
　　(E)31.50
　　Course6:Spring2005-13-GOONTONEXTPAGE
　　MorningSession
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　　Course6:Spring2005-14-GOONTONEXTPAGE
　　MorningSession
　　高顿网校之经典总结：生活是恼人的牢笼。一个有思想的人到成年时期，对生活有了成熟的感觉，他就不能不感到他关在一个无从脱逃的牢笼里面。 —— 契诃夫