全国所有的北美精算师考友们，大家请把注意力转移至高顿网校哦。下面是北美精算师考试之SOA真题汇集May2005ExamC（最后一部分）。
　　11.(5points)Withrespecttonumericalinterestrateriskmanagementtechniques,
　　(i)Listanddefinethecommontechniques
　　(ii)Describethekeyshortfallsofeachcommontechnique
　　BaseyouranswerontheCanadianInstituteofActuariesEducationalNote“Measurement
　　ofExposuretoInterestRateRisk”.
 
　　12.(6points)CompanyABChasaninternationalfundthatisbenchmarkedagainstan
　　externalindex.Youaregiventhefollowingwithrespecttoabenchmarkportfolioand
　　ABC’sfundmanager’sportfolio:
　　Market
　　Benchmark
　　Weight
　　Returnon
　　EquityIndex
　　Currency
　　Appreciation
　　FundManager’s
　　Weight
　　FundManager’s
　　EquityReturn
　　Asian40%10%20%35%12%
　　European25%5%-10%7%
　　Australian35%7%25%20%
　　(a)Describetherisksthatareuniquetointernationalinvestments.
　　(b)Thefundmanager’sportfolioreturnmatchedthereturnoftheindex.Determine
　　theamountthatthefundmanagerinvestedintheEuropeanandAustralian
　　markets.
　　(c)Foryourportfolio,calculatetheindividualimpactsofeachofthefollowing:
　　(i)Currencyselection
　　(ii)Countryselection
　　(iii)Stockselection
　　Showallwork.
　　Course6:Spring2005-38-GOONTONEXTPAGE
　　AfternoonSession
 
　　13.(5points)Youaregiventhefollowingwithrespecttoan8-year,6%,sequential-pay
　　CMO:
　　TrancheInitialBalance
　　120,000
　　235,000
　　365,000
　　?TheannualpaymentrequiredtoamortizetheCMOovereightyearsis19,324.31.
　　?Theactualcashflowsareasfollows:
　　Year
　　Interest
　　Payment
　　RequiredPrincipal
　　Payment
　　Additional
　　PrincipalPayment
　　Outstanding
　　Balance
　　0120,000.00
　　17,200.0012,124.311,078.76106,796.93
　　26,407.8112,916.501,877.6192,002.82
　　35,520.1713,804.142,345.9675,852.72
　　44,551.1614,773.152,443.1858,636.39
　　53,518.1815,806.132,141.5140,688.75
　　62,441.3216,882.991,190.2922,615.47
　　71,356.9217,967.39185.924,462.16
　　8267.734,462.160.000.00
　　(a)DescribethetypesofCMOstructures.
　　(b)Calculatetheoutstandingbalanceforeachtrancheattheendofeachyear.
　　(c)Calculatetheinterestallocatedtoeachtrancheforeachofthefirstthreeyears.
　　Showallwork.
　　Course6:Spring2005-39-STOP
　　AfternoonSession
 
　　14.(4points)
　　(a)Describethecriteriaforselectinganinterestrategenerator.
　　(b)Describethecharacteristicsof
　　(i)alognormalprocess
　　(ii)ameanreversionarylognormalprocess
　　(c)DescribethestepsusedintheMarkovchainprocesstogenerateinterestrates.
 
　　15.(4points)
　　(a)Describetheadvantagesanddisadvantagesofusingstochasticsimulationwhen
　　pricingderivativesecurities.
　　(b)DescribethetechniquesthatareavailabletoreducevariancewhenusingMonte
　　Carlosimulation.
　　**ENDOFEXAMINATION**
　　AFTERNOONSESSION
　　高顿网校之考试励志：中国人有一句老话：“不入虎穴，焉得虎子。”这句话对于人们的实践是真理，对于认识论也是真理。离开实践的认识是不可能的。 —— 毛泽东