题目 A $100 face value bond with 20 years to maturity pays a semi-annual coupon with a 4.0% coupon rate. If we compute effective duration and effective convexity, at a yield of 6.0%, with a shock [...]
题目 In regard to interest rate factors, which of the following statements is necessarily TRUE? 选项 A.If we estimate the change in bond price using both duration and convexity, we are using a [...]
题目 Calculate the Modified Duration of a bond with Macaulay duration of 13.083 years. Assume market interest rates are 11.5% and the coupon on the bond is paid semiannually. 选项 A.13.083 [...]
题目 A 15-year zero-coupon bond has a price of $63.98 when the yield is 3.00%. At this 3.00% yield, the bond's dollar duration is -952.0; if the yield increases by 10 basis points to 3.10% the [...]
题目 Assume the coupon curve of prices for Ginnie Maes in June 2001 is as follows: 6 percent at 92; 7 percent at 94, and 8 percent at 96.5. What is the effective duration of this MBS? 选项 A.2.45 [...]
题目 The rate of change of duration with respect to the underlying yield of a fixed income bond is called: 选项 A.Convexity B.Delta C.Theta D.DVBP 答案 A 解析 Answer: AConvexity measures how [...]
题目 When the maturity of a plain coupon bond increases, its duration increases: 选项 A.indefinitely and regularly B.up to a certain level C.indefinitely and progressively D.in a way dependent on [...]
题目 A market maker sells (writes) $50 million face value of call options on underlying bonds when the interest rate is 4.0%. At this 4.0% rate level, the DV01 (dollar value of an '01) of the [...]
题目 Which of the following statements concerning the measurement of operational risk is correct? 选项 A.Economic capital should be sufficient to cover both expected and worst-case operational [...]
