高顿网校小编为您8月8日一大清早为您整理完毕的：北美精算师SOA真题2005.05ExamC（第三堂课）。
　　3. X. Tracking error of 68 basis points I. Assuming a normal distribution, there
　　is a 68% probability that the portfolio
　　return over the next year will be
　　within one standard deviation of the
　　annualized benchmark return
　　Y. Portfolio β of 68% II. The portfolio has less volatility than
　　the benchmark
　　III. Expect a 68 basis point increase in the
　　portfolio return if there is a 100 basis
　　point increase in the benchmark return
　　4. X. Planned amortization classes I. Priced at tighter spreads to the
　　Treasury curve than sequential-pay
　　bonds
　　Y. Accretion-directed classes II. Redirect principal only
　　III. Complete protection against
　　extension of average life if interest
　　rates rise
　　5. X. Increase in volatility I. Decreases the value of a putable
　　bond
　　Y. Decrease in volatility II. Increases the value of a call option
　　III. For a given price, increases the
　　option-adjusted spread for a putable
　　bond
　　Course 6: Spring 2005 - 10 - GO ON TO NEXT PAGE
　　Morning Session
　　6-10. Questions 6 through 10 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.
　　6.
　　ASSERTION
　　Returns on the S&P 500 stock
　　index are not affected by stock
　　splits.
　　BECAUSE
　　REASON
　　Returns on market-value-weighted
　　indices are based on holding
　　investments in proportion to their
　　market values.
　　7.
　　ASSERTION
　　The extended Vasicek model is
　　able to provide an exact fit to the
　　current term structure of interest
　　rates.
　　BECAUSE
　　REASON
　　The drift term in the extended
　　Vasicek model is time-independent.
　　Course 6: Spring 2005 - 11 - GO ON TO NEXT PAGE
　　Morning Session
　　8.
　　ASSERTION
　　Firm-wide stress tests are
　　reviewed frequently but changed
　　infrequently.
　　BECAUSE
　　REASON
　　Stress tests may be usefully
　　applied to markets in which
　　illiquid conditions produce asset
　　price jumps and impede securities
　　trading during times of stress.
　　9.
　　ASSERTION
　　The FHA experience method is
　　rarely used as a prepayment
　　model.
　　BECAUSE
　　REASON
　　The FHA experience method does
　　not reflect the effect of age on prepayments.
　　10.
　　ASSERTION
　　If a risk-free asset is available,
　　only aggressive investors will be
　　affected by a restriction on
　　borrowing.
　　BECAUSE
　　REASON
　　A borrowing restriction drives
　　aggressive investors to portfolios
　　on the efficient frontier of risky
　　assets.
　　Course 6: Spring 2005 - 12 - GO ON TO NEXT PAGE
　　Morning Session
　　11. A fixed-rate bond with a market value of 20 million and a duration of 4 is separated into
　　three bonds. Two of the bonds are floaters and the third is an inverse floater.
　　You are given the following information with respect to the floaters:
　　Floater Market Value Duration
　　A 16 million 1
　　B 2 million 0.5
　　Calculate the duration of the inverse floater.
　　(A) 2.50
　　(B) 3.06
　　(C) 3.15
　　(D) 25.20
　　(E) 31.50
　　Course 6: Spring 2005 - 13 - GO ON TO NEXT PAGE
　　Morning Session
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　　Course 6: Spring 2005 - 14 - GO ON TO NEXT PAGE
　　Morning Session
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