有请来自备战经济师的莘莘学子们进来学习SOA北美精算师考试真题May2005Course6（第2部分），请加强自身的课堂笔记，效果更佳。
　　7.(4points)OutlinetherisksfacedbyaU.S.investorinpurchasinga10-yearprivatelyplaced
　　U.S.corporatecallablebond.
　　Course6:Spring2005-7-GOONTONEXTPAGE
　　MorningSession
　　COURSE6
　　MORNINGSESSION
　　SECTIONB–MULTIPLECHOICE
　　Course6:Spring2005-8-GOONTONEXTPAGE
　　MorningSession
　　1-5.Eachofquestions1through5consistsoftwolists.Inthelistattheleftaretwoitems,
　　letteredXandY.Inthelistattherightarethreeitems,numberedI,IIandIII.ONEof
　　thelettereditemsisrelatedinsomewaytoEXACTLYTWOofthenumbereditems.
　　Indicatetherelateditemsusingthefollowinganswercode:
　　LetteredItem
　　IsRelatedtoNumberedItems
　　(A)
　　X
　　IandIIonly
　　(B)
　　X
　　IIandIIIonly
　　(C)
　　Y
　　IandIIonly
　　(D)
　　Y
　　IandIIIonly
　　(E)
　　Thecorrectanswerisnotgivenby(A),(B),(C)or(D).
 
　　1.X.Yield-to-maturityreturnmethodI.Requiresanexplicitreinvestment
　　rateassumption
　　Y.TotalreturnmethodII.Iscommonlyusedforpricingand
　　trading
　　III.Ignoresthecapitalgainorlossfrom
　　securitysales
 
　　2.X.EffectivedurationmatchingI.Veryexpensivetoimplement
　　Y.CashflowmatchingII.Onlyworksforsmallchangesin
　　interestrates
　　III.Accountsforoptionsembeddedin
　　theassetsandliabilities
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　　MorningSession
 
　　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
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　　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.
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　　MorningSession
　　8.
　　ASSERTION
　　Firm-widestresstestsare
　　reviewedfrequentlybutchanged
　　infrequently.
　　BECAUSE
　　REASON
　　Stresstestsmaybeusefully
　　appliedtomarketsinwhich
　　illiquidconditionsproduceasset
　　pricejumpsandimpedesecurities
　　tradingduringtimesofstress.
　　9.
　　ASSERTION
　　TheFHAexperiencemethodis
　　rarelyusedasaprepayment
　　model.
　　BECAUSE
　　REASON
　　TheFHAexperiencemethoddoes
　　notreflecttheeffectofageonprepayments.
　　高顿网校之旷世名言汇集：人类也需要梦想者，这种人醉心于一种事业的大公无私的发展，因而不能注意自身的物质利益。——居里夫人