题目 Which one of the following cases or events can be considered as resulting from operational risk? 选项 A.A bank reports losses on a diversified portfolio of stocks during the stock market [...]
题目 Consider a 9-year bond with a semi-annual 10.0% coupon that has a current price of $119.780 and a yield of 7.000%. If the yield drops to 6.850%, the bond's price increases to $120.900. If this [...]
题目 A portfolio manager uses her valuation model to estimate the value of a bond portfolio at USD 125.482 million. The term structure is flat. Using the same model, she estimates that the value of [...]
题目 Investing a putable bond can be seen as a combination of: 选项 A.Long a bond and long a put B.Long a bond and short a put C.Short a bond and short a put D.Short a bond and long a put 答案 [...]
题目 A trading portfolio consists of two bonds, A and B. Both have modified duration of 3 years and face value of USD 1000, but A is a zero-coupon bond and its current price is USD 900, and bond B [...]
题目 Assume you own a security with a 2-year key rate exposure of $4.78, and you would like to hedge your position with a security that has a corresponding 2-year key rate exposure of 0.67 per $100 [...]
题目 Calculate the Macaulay Duration of a two-year bond paying an annual coupon of 6% with yield to maturity of 8%. Assume par value of the bond to be $1,000. 选项 A.2.00 years B.1.94 years [...]
题目 Each of the following bond risk measures assumes a parallel shift in the yield curve EXCEPT FOR: 选项 A.Duration B.Convexity C.Yield-based DV01 D.Key rate shift 答案 D 解析 Convexity is [...]
题目 A portfolio manager has a bond position worth USD 100 million. The position has a modified duration of eight years and a convexity of 150 years. Assume that the term structure is flat. By how [...]
题目 An 8-year 5% coupon bond with at par value of 100 is currently trading at a price of 94.65. The price of this bond rises to 96.35 when interest rates fall by 30 basis points and falls to 92.75 [...]
