题目 Bonds issued by the XYZ Corp. are currently callable at par value and trade close to par. The bonds mature in 8 years and have a coupon of 8%. The yield on the XYZ bonds is 175 basis points [...]
题目 The modified duration is 10.46 years of a bond with a current price of $716.38. What is the bond's DV01? 选项 A.$0.40 B.$0.75 C.$1.25 D.Need more information (yield, maturity) 答案 B [...]
题目 What is the price impact of a 10 basis point increase in yield on a 10-year par bond with a modified duration of 7 and convexity of 50? 选项 A.-0.705% B.-0.700% C.-0.698% D.-0.690% 答案 C [...]
题目 For which is duration LEAST appropriate? 选项 A.Zero coupon bond B.bond with fixed cash flows C.Bond with embedded option D.High convexity bond 答案 C 解析 Measures [based on the [...]
题目 Your supervisor is an expert in market and credit risk. He recruits you to manage the operational risk department. He would like to use VaR to measure the firm’s operational risk and [...]
题目 A 30-year 4.0% semi-annual coupon bond has a price of $100.00 at a yield of 4.00%. At this 4.00% yield the bond has a modified duration of 17.380 years. If the yield drops by one basis point, [...]
题目 Which of the following measurement approaches for assessing operational risk would be most appropriate for small banks? 选项 A.Loss frequency approach B.Basic indicator approach [...]
题目 A zero-coupon bond with a maturity of 10 years has an annual effective yield of 10%. What is the closest value for its modified duration? 选项 A.9 B.10 C.99 D.100 答案 A 解析 [...]
题目 Which of the following assumptions are made when using DV01 as a measure of interest rate risk? I. Changes in the interest rates are small. II. The yield curve is flat. III. Changes to the [...]
题目 A bank has $500 million in assets with a modified duration of 7 and $400 million in liabilities with a modified duration of 5. Accounting only for duration effects, the impact of a [...]
