请认真看并仔细记住其中的纲要：SOA真题北美精算师往年珍藏版——Course6May2005（第四课），对2014年11月的北美精算师考试特有帮助。
　　20. X. Spread analysis I. Compares the total return and
　　duration of various assets
　　Y. Relative return value analysis II. Analyzes prices and yields by bond
　　market sector
　　III. Uses regression to determine
　　portfolio expectations
　　Course 6: Spring 2005 - 22 - GO ON TO NEXT PAGE
　　Morning Session
　　21-26. Questions 21 through 26 consist of an assertion in the left-hand column and a reason in
　　the right-hand column. Code your answer to each question by blackening space:
　　(A) If both the assertion and the reason are true statements, and the reason is a correct
　　explanation of the assertion.
　　(B) If both the assertion and the reason are true statements, but the reason is NOT a
　　correct explanation of the assertion.
　　(C) If the assertion is a true statement, but the reason is a false statement.
　　(D) If the assertion is a false statement, but the reason is a true statement.
　　(E) If both the assertion and the reason are false statements.
　　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.
　　26.
　　ASSERTION
　　An Arrow-Debreu security pays
　　one unit in one state of nature and
　　nothing in all other states.
　　BECAUSE
　　REASON
　　The single-period securities
　　market model is arbitrage free if
　　and only if there exists a state
　　price vector.
　　Course 6: Spring 2005 - 24 - GO ON TO NEXT PAGE
　　Morning Session
　　27. You are given the following:
　　Country Expected One-year Investment Return
　　U.S. 4%
　　China 6%
　　The current exchange rate is 8.27 Chinese RMB per U.S. Dollar.
　　Calculate the no-arbitrage one-year future exchange rate.
　　(A) 8.11
　　(B) 8.29
　　(C) 8.43
　　(D) 8.60
　　(E) 8.77
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　　Morning Session
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　　Course 6: Spring 2005 - 26 - GO ON TO NEXT PAGE
　　Morning Session
　　28. You are given the following for a binomial option pricing model:
　　? Length of interval: 4 years
　　? Annual volatility: 0.5
　　? Annual interest rate: 5.0%
　　Calculate the probability value q .
　　(A) 0.15
　　(B) 0.36
　　(C) 0.64
　　(D) 0.68
　　(E) 0.88
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　　Morning Session
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　　Course 6: Spring 2005 - 28 - GO ON TO NEXT PAGE
　　Morning Session
　　逆水行舟用力撑，一篙松劲退千寻；古云“此日足可惜”，吾辈更应惜秒阴。——高顿网校精品语录