SOA真题May2005ExamC精算师考试

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Course6:Spring2005-1-GOONTONEXTPAGE
MorningSession
COURSE6
MORNINGSESSION
SECTIONA–WRITTENANSWER
Course6:Spring2005-2-GOONTONEXTPAGE
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**BEGINNINGOFEXAMINATION**
MORNINGSESSION
1.(5points)Yourcompanyisevaluatingactiveandquasi-passiveinvestmentstrategiesfor
bondportfoliomanagement.
(a)Defineeachquasi-passiveindexationapproach.
(b)Describetheadvantagesanddisadvantagesofeachquasi-passiveindexation
approach.
(c)Explainthereasonsyourcompanywouldconsideranactiveinvestmentstrategy.
(d)Describethesectorandsecuritystrategiesthatanactiveinvestmentmanager
wouldusetoselectindividualbonds.
2.(7points)Yourcompanyisofferinga15-yearterm-certainimmediateannuitywith
paymentslinkedtotheCPI.Policyholderscanwithdrawfundsondemandatmarket
values.
Theuniverseofavailableinvestmentsconsistsofthefollowing:
•Short-termT-bills
•Realreturnpublicbonds
•Corporatebonds
•Realestate
(a)Outlinetheadvantagesanddisadvantagesofeachinvestmentforbackingthis
annuity.
(b)Recommendaninvestmentstrategyusingtheinvestmentsavailable.
(c)Describethemajorcomponentsofanaccumulatedcashflowscenario-based
model.
(d)Outlinethemajorcomponentsoftheinvestmentpolicystatementforthisproduct.
Course6:Spring2005-3-GOONTONEXTPAGE
MorningSession
3.(5points)Youaregiventhefollowinginformation:
BondTermEffectiveDurationEffectiveConvexity
A53.1-41.7
B54.523.4
C54.221.3
D52.764.5
TheoptionandpricecharacteristicsofBondsA,B,CandDareasfollows:
•onebondisoption-freewithacurrentpriceabovepar
•onebondisoption-freewithacurrentpricebelowpar
•onebondiscallable,pricedatpar
•onebondisputable,pricedatpar
(a)DeterminetheoptionandpricecharacteristicscorrespondingtoeachofBondsA,
B,CandD.Explainyouranswer.
(b)Assessthelimitationsofdurationasaninterestrateriskmeasure.
(c)Defineconvexity.Compareeffectiveconvexityandmodifiedconvexity.
(d)CalculatetheapproximatepercentagepricechangeforBondsAandBassuminga
decreaseinyieldof0.50.
Showallwork.
Course6:Spring2005-4-GOONTONEXTPAGE
MorningSession
4.(10points)Youaregiventhefollowingwithrespecttotreasurysecuritiesasoftoday,
May13,2005:
SecurityYearstoMaturity
AnnualCouponRate
PaidSemi-annuallyYield-to-maturity
A0.503.0
B1.003.2
C1.563.5
D2.053.6
(a)Calculatethespotrateforeachmaturitydate.
(b)Explainhowarbitrageprofitscouldbemadefromcouponstripping.
(c)Calculatetheone-yearforwardrate,oneyearfromtoday.
(d)Withrespecttothepureexpectationstheory
(i)Describethetheory
(ii)Describetheinterpretationsofthetheorythathavebeenputforthby
economists
(iii)Explaintheshortcomingsofthetheory
(e)Withrespecttoothertheoriesoftermstructureofinterestrates:
(i)Brieflydescribeeachtheory
(ii)Usingeachtheory,comparetheone-yearspotonMay13,2006,withthe
one-yearforwardratecalculatedin(c)
Showallwork.
Course6:Spring2005-5-GOONTONEXTPAGE
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