下面高顿网校帅锅小编贴出来的是精算师2002年北美考区5月份真题放送：Course6（五）。
　　25. ASSERTION
　　The Multiple Asset Performance
　　strategy is equivalent to
　　purchasing an option that allows
　　the buyer to choose the asset to
　　call or buy at a guaranteed price.
　　BECAUSE
　　REASON
　　A Multiple Asset Performance
　　option valuation-based approach
　　does not require asset return
　　forecasts.
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
 
　　26. You are given the following information with respect to a callable bond:
　　? par amount: 1,000
　　? term to maturity: 3 years
　　? annual coupon rate: 6% payable annually
　　? value of embedded call option: 20
　　Term Annual Spot Interest Rates
　　1 7%
　　2 8%
　　3 9%
　　Calculate the value of the bond.
　　(A) 906
　　(B) 926
　　(C) 930
　　(D) 950
　　(E) 1,000
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
 
　　27. You are given the following information with respect to a non-callable bond:
　　? par amount: 1,000
　　? term to maturity: 4 years
　　? annual coupon rate: 8% payable annually
　　1-Year Annual Forward Interest Rates
　　Time
　　Scenario X Scenario Y
　　0 7% 7%
　　1 7% 6%
　　2 8% 7%
　　3 10% 5%
　　Each interest rate scenario has an equal probability of occurring.
　　Calculate the value of the bond.
　　(A) 1,000.00
　　(B) 1,018.40
　　(C) 1,022.80
　　(D) 1,030.39
　　(E) 1,031.07
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
 
　　28. You are given the following information with respect to a multiplicative binomial
　　branching model:
　　? the short rate one year from now will be either:
　　r r gamma t
　　u
　　+ t = ? + 1 b1 g , or
　　r r gamma t
　　d
　　+ t = ? + 1 b1 g , with equal probability
　　? volatility: 20%
　　? current short term interest rate: 6%
　　? notional amount of a 2-year interest rate collar: 100
　　Calculate the value of a 2-year interest rate collar with strike levels of 5% and 8%.
　　(A) 0.141
　　(B) 0.187
　　(C) 0.328
　　(D) 0.348
　　(E) 0.368
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
 
　　29. You are given the following information:
　　? expected market return: 12%
　　? standard deviation of market return: 10%
　　? risk-free rate: 4%
　　? utility function of the investor: U E R
　　R
　　M M
　　= ( ) - M
　　s( )2
　　5
　　Calculate the optimal percentage the investor would invest in the market.
　　(A) 10%
　　(B) 20%
　　(C) 30%
　　(D) 40%
　　(E) 50%
　　COURSE 6: MAY 2002 m END OF EXAMINATION
　　MORNING SESSION
 
　　30. You are given the following information:
　　? immunization target: 9.0%
　　? minimum return acceptable to the fund sponsor: 6.0%
　　? worst case return for an actively managed portfolio: 2.5%
　　Calculate the minimum proportion of the initial portfolio (X) that should be actively
　　managed.
　　(A) X < 40%
　　(B) 40% ? X < 45%
　　(C) 45% ? X < 50%
　　(D) 50% ? X < 55%
　　(E) 55% ? X < 60%
　　**END OF COURSE 6**
　　MORNING SESSION
　　COURSE 6
　　AFTERNOON SESSION
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　AFTERNOON SESSION
　　**BEGINNING OF COURSE 6**
　　AFTERNOON SESSION
　　Beginning with question 8
　　8. (4 points) Describe the risks associated with investing in fixed income securities.
　　9. (5 points) You are given the following information:
　　Projected Cash Flows
　　Duration
　　Year 1 Year 2 Year 3 Year 4 Year 5
　　Liabilities 4.2 210 69 445 180 1980
　　Assets 4.3 194 254 41 200 2200
　　Universe of available assets for investment:
　　? 90-day T-bills
　　? 2-year bonds with annual coupons of 5%
　　? 3-year bonds with annual coupons of 6%
　　? 5-year bonds with annual coupons of 10%
　　Determine the necessary asset transactions to cash flow match the projected liability cash
　　flows.
　　Show all work.
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　AFTERNOON SESSION
　　10. (8 points) The Chief Financial Officer (CFO) of a large corporation is considering
　　offering an innovative “collared floater” with the following features:
　　? value at issue: par
　　? par amount: 10 million
　　? term to maturity: 5 years
　　? coupon: semi-annual payment and reset, 6-month LIBOR + 0.50%
　　? minimum coupon: 7.5%
　　? maximum coupon: 12.5%
　　The CFO intends to use derivative instuments to convert this collared floater into
　　synthetic fixed-rate funding. The following quotes for five-year, semi-annual settlement
　　interest rate swaps, caps and floors on 6-month LIBOR are obtained from a market maker
　　in derivative products:
　　Bid Ask
　　Swaps for LIBOR 8.65% 8.75%
　　Interest Rate Cap at 12.0% 0.65% 0.75%
　　Interest Rate Cap at 12.5% 0.50% 0.60%
　　Interest Rate Cap at 13.0% 0.35% 0.45%
　　Interest Rate Floor at 7.0% 0.80% 0.90%
　　Interest Rate Floor at 7.5% 0.95% 1.05%
　　Interest Rate Floor at 8.0% 1.10% 1.20%
　　(a) Determine the specific combination of transactions which result in a synthetic
　　fixed rate of funding.
　　(b) Explain why this combination works.
　　(c) Calculate the effective (all-in) interest cost for this synthetic fixed-rate funding.
　　(d) Identify the situations when credit risk is a concern to the corporation in this
　　transaction.
　　Show all work.
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　AFTERNOON SESSION
　　11. (6 points)
　　(a) Define a floating-rate security and describe its features.
　　(b) Describe the yield spread measures used to *uate floating-rate securities.
　　(c) Describe the factors affecting the price of floating-rate securities.
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　AFTERNOON SESSION
　　家！甜蜜的家！天下最美好的莫过于家。——高顿网校名言警句

 

 
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