以下则是高顿网校小编为您整理的一套考前珍贵资料：2003年5月北美精算师考试SOA真题系列：Course6（四），请一定笑纳。
　　11.
　　ASSERTION
　　The large number of issuers and
　　dollar amount outstanding make the
　　credit card asset-backed securities
　　(ABS) sector a particularly active
　　secondary market.
　　BECAUSE
　　REASON
　　The spreads for credit card ABS are
　　a benchmark for other ABS sectors.
 
　　12.
　　ASSERTION
　　Scenario approaches to assessing
　　risks tend to result in asset risks that
　　are low by historical standards.
　　BECAUSE
　　REASON
　　There is a behavioral regularity that
　　makes people reluctant to forecast
　　explicitly low-probability events in
　　which extreme outcomes would
　　occur.
　　Course 6: Spring 2003 - 22 - GO ON TO NEXT PAGE
 
　　13.
　　ASSERTION
　　Proponents of the efficient market
　　hypothesis do not advocate
　　technical analysis.
　　BECAUSE
　　REASON
　　Technical analysis relies on earnings
　　and dividend prospects, expectations
　　of future interest rates, and risk
　　*uation.
 
　　14.
　　ASSERTION
　　In times of high interest rates,
　　investors will accept lower yields
　　from a bond with a sinking fund
　　provision.
　　BECAUSE
　　REASON
　　A sinking fund provision enhances
　　the liquidity of the debt.
 
　　15.
　　ASSERTION
　　Contingent immunization provides
　　the flexibility to alternate between an
　　active investment strategy and an
　　immunized investment strategy.
　　BECAUSE
　　REASON
　　Contingent immunization has an
　　effective monitoring procedure to
　　ensure the safety net investment
　　return is not violated.
　　Course 6: Spring 2003 - 23 - GO ON TO NEXT PAGE
 
　　16. You are given the following with respect to a mutual fund:
　　?  assets on January 1, 2002: 200 million
　　?  shares outstanding throughout the year: 10 million
　　?  dividend income: 2 million
　　?  fund appreciation in 2002: 8%
　　?  fees: 0.5%
　　No securities were sold during the year.
　　No capital gain distributions were made during the year.
　　Dividends and fees are paid on December 31, 2002.
　　Calculate the net asset value as of December 31, 2002.
　　(A) 20.2
　　(B) 21.5
　　(C) 21.6
　　(D) 21.7
　　(E) 21.8
　　Course 6: Spring 2003 - 24 - GO ON TO NEXT PAGE
　　USE THIS PAGE FOR YOUR SCRATCH WORK
　　Course 6: Spring 2003 - 25 - GO ON TO NEXT PAGE
 
　　17. You are given the following with respect to a callable bond:
　　?  annual coupon rate: 5%
　　?  time to maturity: 2 years
　　?  call price: 100
　　?  par value: 100
　　You are also given the following with respect to one-year interest rates:
　　?  current rate r0 b g: 5.0%
　　?  the lower rate one year forward rL b g: 4.25%
　　?  standard deviation: 0.1
　　Using Fabozzi’s binomial interest rate tree, calculate the value of the bond.
　　(A) 95.23
　　(B) 95.50
　　(C) 99.91
　　(D) 100.00
　　(E) 100.26
　　Course 6: Spring 2003 - 26 - GO ON TO NEXT PAGE
　　USE THIS PAGE FOR YOUR SCRATCH WORK
　　Course 6: Spring 2003 - 27 - GO ON TO NEXT PAGE
 
　　18-23. Each of questions 18 through 23 consists of two lists. In the list at the left are two items,
　　lettered X and Y. In the list at the right are three items, numbered I, II, and III. ONE of the
　　lettered items is related in some way to EXACTLY TWO of the numbered items. Indicate the
　　related items using the following answer code:
　　Lettered Item
　　Is Related to Numbered Items
　　(A)
　　X
　　I and II only
　　(B)
　　X
　　II and III only
　　(C)
　　Y
　　I and II only
　　(D)
　　Y
　　I and III only
　　(E)
　　The correct answer is not given by (A), (B), (C) or (D).
　　作者不一定能写到老，但是他一定应该学到老。——高顿网校名人心得

 

 
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