2001年5月北美精算師資格考試參考資料--課程6
texts
1. bond portfolio mangement, ( second edition ), 2001, by fabozzi, f.j., editor, chapters 2, 15-16.
2. investments, ( fourth edition ), 1999, by bodie, z., kane, a., abd marcus, a., chapters 1 ( background reading only ), 2-5, 6 ( excluding appendix ), 7, 8 ( exclude appendix ), 9-12, 25.
3. financial economics, 1998, by pajer, h.h., editor, chapters 2 ( sections 1-6 only ), 3, 5-6.
4. handbook of fixed income securities, ( sixth edition ), 2000, by fabozzi, f.j., chapters 1-2, 5-6, 8, 11, 14, 24, 25, ( pp. 573-588, 594-601, and 607-618 only ), 26, 28, 29 ( pp. 679-695 only ), 32 ( pp. 739-740, 750-756 only ), 34, 37 (pp. 837-846 only ), 39, 44-45, 47, 50, and 58.
5. manging investment portfolios, ( second edition ), 1990, by maginn, j.l., and tuttle, d.l., chapters 7 ( exclude pp. 36-69 ), 8.6. valuation of interest-sensitive financial instruments, 1996, by babbel, d. and merrill, c., chapters 1 ( background only ), 2-3, 5 and 8.
study notes:
code title
6-05-01 course 6 introductory study note
6-09-00 sample examination #1
6-10-00 may 2000 course/exam 6
6-21-01 report on default and returns on high-yield bonds: analysis through 1999 and default outlook for 2000-2002
6-23-00 gic portfolio design
6-24-00 exploiting behavioral finance: portfolio strategy and construction
6-26-00 finding the immunizing investment for insurance liabilities: the case of the spda
6-27-00 matched-funding techniques
6-28-00 introduction to the formation of investment strategy for life insurance companies and pension
6-29-00 risk-based capital for life insurance
6-30-00 liquidity: the hidden risk factor
6-31-00 fiduciary liability issues for selection of investments
6-32-00 investment management of retirement plans in canada
6-33-00 asset performance and surplus control: a dual shortfall approach
6-34-00 managing pension fund investments chapters 10, 11 ( omit 11.08), 13, 14 ( 14.01- 14.05 for background only ), 15 ( omit15.08-15.10 )
published references
"a practical guide to interest rate generators for c-3 risk analysis, " tsa xliv
"risk-based capital strategies", rsa, vol. 20. no. 4a
"cia guidance notes: an overview of an investment policy statement in an asset/liability management context", 1994
"cia educational note: measurement of exposure to interest rate risk", ( including appendices ), 1995