精算师北美考试SOA真题ExamCMay2005（四），对11月份北美精算师考试受用无穷，对复习应考很有帮助。
　　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.
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　　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.
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　　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
　　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
　　29. You are given the following:
　　Portfolio Market Value Duration
　　Assets 100 5.2
　　Liabilities 85 4.4
　　Calculate the change in economic surplus if interest rates decline by 50 basis points.
　　(A) –1.5
　　(B) –0.7
　　(C) 0.0
　　(D) 0.7
　　(E) 1.5
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　　Morning Session
　　30. The tracking error for a portfolio is 50 basis points. Further analysis shows that the
　　tracking error for the systematic risk is 45 basis points. Calculate the tracking error for
　　the unsystematic risk.
　　(A) 2 basis points
　　(B) 5 basis points
　　(C) 14 basis points
　　(D) 22 basis points
　　(E) 25 basis points
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　　Morning Session
　　上天赋予的生命，就是要为人类的繁荣和平和幸福而奉献。——高顿网校旷世名言