SOA真题May2005ExamC－会计考试

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SOA真题May2005ExamC

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SOA真题May2005ExamC

作者：佚名文章来源：快乐阅读网 zuowenw.com 点击数：更新时间：2008-5-29

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本文《SOA真题May2005ExamC》关键词：经济师考试

Course 6: Spring 2005 - 1 - GO ON TO NEXT PAGE
Morning Session
COURSE 6
MORNING SESSION
SECTION A – WRITTEN ANSWER
Course 6: Spring 2005 - 2 - GO ON TO NEXT PAGE
Morning Session
**BEGINNING OF EXAMINATION**
MORNING SESSION
1. (5 points) Your company is evaluating active and quasi-passive investment strategies for
bond portfolio management.
(a) Define each quasi-passive indexation approach.
(b) Describe the advantages and disadvantages of each quasi-passive indexation
approach.
(c) Explain the reasons your company would consider an active investment strategy.
(d) Describe the sector and security strategies that an active investment manager
would use to select individual bonds.
2. (7 points) Your company is offering a 15-year term-certain immediate annuity with
payments linked to the CPI. Policyholders can withdraw funds on demand at market
values.
The universe of available investments consists of the following:
• Short-term T-bills
• Real return public bonds
• Corporate bonds
• Real estate
(a) Outline the advantages and disadvantages of each investment for backing this
annuity.
(b) Recommend an investment strategy using the investments available.
(c) Describe the major components of an accumulated cash flow scenario-based
model.
(d) Outline the major components of the investment policy statement for this product.
Course 6: Spring 2005 - 3 - GO ON TO NEXT PAGE
Morning Session
3. (5 points) You are given the following information:
Bond Term Effective Duration Effective Convexity
A 5 3.1 -41.7
B 5 4.5 23.4
C 5 4.2 21.3
D 5 2.7 64.5
The option and price characteristics of Bonds A, B, C and D are as follows:
• one bond is option-free with a current price above par
• one bond is option-free with a current price below par
• one bond is callable, priced at par
• one bond is putable, priced at par
(a) Determine the option and price characteristics corresponding to each of Bonds A,
B, C and D. Explain your answer.
(b) Assess the limitations of duration as an interest rate risk measure.
(c) Define convexity. Compare effective convexity and modified convexity.
(d) Calculate the approximate percentage price change for Bonds A and B assuming a
decrease&

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