我们高顿网校给您提供齐全的北美精算师历年考试SOA珍贵真题May2004Course6②，不好好阅读可会辜负我们的苦心哦。
　　6. (5 points) You are given the following:
　　Features
　　Bond Maturity (years) Annual Coupon Rate (%) Embedded Options
　　A 10 5% None
　　B 10 5% Put Option
　　C 10 7% None
　　D 10 7% Call Option
　　W 20 8% None
　　X 20 8% Put Option
　　Y 20 10% None
　　Z 20 10% Call Option
　　(a) Describe how bond features affect interest rate risk.
　　(b) An investor only buys bonds that have at least two of their features with high
　　sensitivity to interest rate changes. Identify the four bonds that this investor will
　　buy. Explain your answer.
 
　　7. (5 points)
　　(a) Describe the advantages of simulation techniques and lattice methods.
　　(b) Outline the issues that arise when implementing simulation techniques for a
　　mortgage-backed securities portfolio.
　　(c) Describe how lattice methods are used in a simulation model when *uating a
　　mortgage-backed securities portfolio.
 
　　Course 6: Spring 2004 - 6 - GO ON TO NEXT PAGE
　　Morning Session
 
　　COURSE 6
　　MORNING SESSION
　　SECTION B – MULTIPLE CHOICE
 
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　　Morning Session
　　1. You are given the following bond portfolio:
　　S&P
　　Rating
　　Percentage
　　of Portfolio
　　AAA 10%
　　AA+ 10%
　　BBB+ 10%
　　A+ 25%
　　D 2%
　　CC 3%
　　BBB- 15%
　　BB+ 5%
　　A 20%
　　Determine the percentage of the portfolio that is investment grade.
　　(A) 65%
　　(B) 75%
　　(C) 90%
　　(D) 95%
　　(E) 100%
 
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　　Morning Session
　　USE THIS PAGE FOR YOUR SCRATCH WORK
 
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　　Morning Session
　　2. You are given the following information for a mutual fund:
　　  net asset value (NAV) at December 31, 2003: 28
　　  income distribution per share in 2004: 0.4
　　  assets at December 31, 2004: 620,000
　　  liabilities at December 31, 2004: 14,600
　　  shares outstanding: 20,000
　　No securities were sold throughout the year. There are no capital gain distributions and
　　no fees in the year.
　　Calculate the effective annual interest rate of return for the mutual fund.
　　(A) 6.7%
　　(B) 8.1%
　　(C) 8.8%
　　(D) 9.5%
　　(E) 12.1%
 
　　Course 6: Spring 2004 - 10 - GO ON TO NEXT PAGE
　　Morning Session
　　USE THIS PAGE FOR YOUR SCRATCH WORK
 
　　Course 6: Spring 2004 - 11 - GO ON TO NEXT PAGE
　　Morning Session
　　3. A one-period securities market model is given by ( S 0) = [1 1 1].
　　( )
　　2 1.6 0
　　1 0 0.8
　　0 0 1
　　S x
　　
　　= ÷÷
　　 ÷
　　è
　　Determine the range of values for x so that this model is arbitrage free.
　　(A) x > 4
　　(B) x < 4
　　(C) x > 0
　　(D) x < 0
　　(E) no such x exists
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　　Morning Session
　　USE THIS PAGE FOR YOUR SCRATCH WORK
 
　　Course 6: Spring 2004 - 13 - GO ON TO NEXT PAGE
　　Morning Session
　　4. You are given the following:
　　  expected return of market portfolio: 7.0%
　　  variance of market portfolio: 10.0%
　　  variance of Security A: 19.0%
　　  covariance of Security A and market portfolio: 25.0%
　　  risk- free rate: 5.0%
　　Calculate the expected return of Security A using CAPM.
　　(A) 7.6%
　　(B) 10.0%
　　(C) 14.2%
　　(D) 17.5%
　　(E) 22.5%
 
　　Course 6: Spring 2004 - 14 - GO ON TO NEXT PAGE
　　Morning Session
　　USE THIS PAGE FOR YOUR SCRATCH WORK
 
　　Course 6: Spring 2004 - 15 - GO ON TO NEXT PAGE
　　Morning Session
　　5-9. Questions 5 through 9 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.
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