题目 A speculative (aka, junk) bond has 15.0 years to maturity and pays a semi-annual 6 1/8 coupon; i.e., its coupon rate is 6.125% payable semi-annually. Its yield is 11.00%. If we assume a [...]
题目 Using key rates of 2-year, 5-year, 7-year, and 20-year exposures assumes all of the following except that the: 选项 A.2-year rate will affect the 5-year rate B.7-year rate will affect the [...]
题目 Which of the following characteristics do not describe top-down approaches to operational risk measurement compared to bottom-up approaches? I Relatively simple. II Ability to differentiate [...]
题目 Which of the following correctly describe the similarities between Operational VaR and Market VaR? I Both VaRs, when used for regulatory capital measurement, need to be validated against [...]
题目 At a rate of 4.00% a bond has a price of $107.93. If the rate drops by one basis point to 3.99%, the bond price increases to $108.00. What is an estimate of the bond's effective duration? [...]
题目 A and B are two perpetual bonds, i.e., their maturities are infinite. A has a coupon of 4 percent and B has a coupon of 8 percent. Assuming that both bonds are trading at the same yield, what [...]
题目 An investment in a callable bond can be analytically decomposed into a: 选项 A.Long position in a non-callable bond and a short position in a put option B.Short position in a non-callable [...]
题目 A market maker sells (writes) $100 million face value of call options on underlying bonds when the interest rate is 4.0%. The price of the call options is $3.0 million and their (modified) [...]
题目 The modified duration is 10.46 of a bond with a current price of $716.38. Once the yield rise 1 basis point, what is the bond’s price change? 选项 A.$-0.40 B.$-0.75 C.$-1.25 D.Need more [...]
题目 Which of the following statements about STRIPS is correct? I. SIRIPS ave less interest rate sensitivity than coupon bonds. II. Tend to be highly liquid. 选项 A.\u2160 only B.\u2161 only [...]
