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题目 For an option-free bond, which of the following are the effects of the convexity adjustment on the magnitude (absolute value) of the approximate bond price change in response to an increase in [...]

题目 Under semi-annual compounding, what is the DV01 of a $100 face value 10-year zero-coupon bond with a yield of 8.0%? 选项 A.$0.044 B.$0.099 C.$0.152 D.$0.227 答案 A 解析 Macaulay duration [...]

题目 When developing a stress testing program, according to BIS, each of the following elements or component is essential EXCEPT which is not? 选项 A.Reverse stress test B.System-side [...]

题目 For a June 1st settlement, an investor finances the entire purchase of a bond with a price of $115.00 at a semiannually compounded borrowing rate of 0.60%. Six months later, on November 30th, [...]

题目 A three-year bond with a current price of $105.90 pays a semi-annual coupon with a coupon rate of 5.0% per annum. What is the bond's yield-to-maturity (YTM) on a bond-equivalent basis? 选项 [...]

题目 A two-year zero-coupon bond issued by corporate XYZ is currently rated One year from now XYZ is expected to remain at A with 85% probability, upgraded to AA with 5% probability, and downgraded [...]

题目 Which of the following statements about governance structure is/are not accurate? Ⅰ.Senior management has ultimate oversight responsibility and accountability for an entire institution. Ⅱ. [...]

题目 An investor buys a US Treasury 4s of May 31, 2023 at a price of $922.05 for settlement on June 1st, 2013. The yield on this 10-year bond is 5.00% as, per the TI BA II+ calculator, N = 20, I/Y [...]

题目 A firm has just issued $1,000 face value bonds with a coupon rate of 8%, paid semiannually, and a maturity of 15 years. If the issue price for this bond is $785.50, what is the [...]

题目 The interest rate for a 1-year period is 5% and the rate for a 2-year period is 6%. Assuming continuous compounding, what is the forward rate for the period from the end of the first year to [...]