北美精算师2002年5月份考试Course6课程的第四节内容发布，大家请再接再厉，拿下月的考试哦！
　　12. X. Decreasing yield rates I. Increases the effective maturity of a
　　callable bond.
　　Y. Higher coupon rate II. Increases the effective maturity of a
　　putable bond.
　　III. Increases the effective duration of a
　　non-callable bond.
 
　　13. X. Prepayment risk modeling I. The principles of arbitrage cannot be
　　relied on to ensure that the valuation
　　will be correct.
　　Y. Low-discrepancy method II. Arc tangent functions are commonly
　　used.
　　III. Takes into account path
　　dependencies in the cash flows.
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
 
　　14. X. Parallel shift interest rate
　　generators
　　I. Based on lognormal or Markov
　　chain processes.
　　Y. Non-parallel shift interest rate
　　generators
　　II. Used for New York 7 scenarios.
　　III. Works well with classical
　　immunization theory.
 
　　15. X. Contingent immunization I. Reduces the risk associated with
　　nonparallel shifts of a sloped yield
　　curve.
　　Y. Combination matching II. Liquidity needs are provided for in
　　the initial cash flow matched period.
　　III. A blend of active management with
　　immunization.
 
　　16. X. Risk Based Capital planning I. Reduce outstanding short-term debt.
　　Y. Liquidity planning II. Portfolio diversification.
　　III. Public perception management.
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
　　17-25. These questions consist of an assertion in the left-hand column and a reason in the righthand
　　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.
 
　　17. ASSERTION
　　Commercial mortgage-backed
　　securities have higher
　　prepayment risks than residential
　　mortgage-backed securities.
　　BECAUSE
　　REASON
　　Commercial mortgage-backed
　　securities are often balloon loans.
 
　　18. ASSERTION
　　A portfolio consisting of
　　negatively correlated assets offers
　　better risk-return opportunities
　　than individual component
　　securities on their own.
　　BECAUSE
　　REASON
　　The standard deviation of a
　　portfolio is less than the weighted
　　average of the standard deviations
　　of its component securities.
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
 
　　19. ASSERTION
　　Under CAPM, the standard
　　deviation of the return of a
　　security is the critical element in
　　calculating the price of that
　　security.
　　BECAUSE
　　REASON
　　Under CAPM, all investors are
　　assumed to be rational meanvariance
　　optimizers.
 
　　20. ASSERTION
　　For a callable bond, the
　　difference between effective and
　　modified durations decreases as
　　interest rates increase.
　　BECAUSE
　　REASON
　　The probability of a callable bond
　　being called decreases as interest
　　rates increase.
 
　　21. ASSERTION
　　Convertible bonds offer upside
　　equity potential with downside
　　protection.
　　BECAUSE
　　REASON
　　Convertible bonds have a lower
　　yield relative to non-convertible
　　bonds.
 
　　22. ASSERTION
　　Generally, a valuation model
　　with two or more factors is
　　implemented by simulation.
　　BECAUSE
　　REASON
　　Simulation permits the inclusion
　　of path dependency in the cash
　　flows of the instrument.
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
　　17-25. These questions consist of an assertion in the left-hand column and a reason in the righthand
　　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.
 
　　23. ASSERTION
　　Option exposures can be
　　managed by matching expected
　　asset and liability cash flows.
　　BECAUSE
　　REASON
　　The asset and liability cash flow
　　matching technique determines a
　　dollar value for the interest rate
　　exposures that exist.
 
　　24. ASSERTION
　　Option-based portfolio insurance
　　strategies are time variant.
　　BECAUSE
　　REASON
　　With respect to option-based
　　portfolio insurance strategies, the
　　optimal mix of risky and riskless
　　positions depends on the time left
　　before the horizon is reached.
　　抱*5的希望，为*5的努力，做最坏的打算。——高顿网校考试励志

 

 
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