SOA QFI QFQuantitative Finance & Investment — Quantitative Finance

Fellowship (FSA)

5 hours·≈10–12 written-answer questions with derivations·≈450 study hours

Score 0/0 · 4 MC

QFI QF · Q1
Multiple choice
Interest-rate models
Which model guarantees non-negative rates when Feller's condition holds and has an analytic bond price?
QFI QF · Q2
Written answer
Interest-rate models
An insurer wants a short-rate model to value interest-rate guarantees in annuities. Compare Vasicek, CIR and Hull–White on (i) mean reversion, (ii) possibility of negative rates, (iii) fit to the initial term structure, (iv) tractability, and recommend one with justification.