题目 A $100 bond with 7.0 years to maturity has a 4.0% per annum coupon rate that is paid semi-annually. What is the effective convexity of the bond when the yield is 4.0% such that the bond's [...]
题目 A portfolio has the following composition: I Bond portfolio A: price $90,000, modified duration 2.5, long position in 8 bonds II Bond portfolio B: price $110,000, modified duration 3, short [...]
题目 According to current Basel committee proposals, banks using the advanced measurement approach must calculate the operational risk capital charge at a: 选项 A.99 percentile confidence level [...]
题目 A 30-year bond pays a semi-annual coupon with a coupon rate of 2.0%. The bond's yield (YTM) is 7.0% and its current price is $37.64. What is the bond's dollar value of an '01 (DV01; aka, DVBP [...]
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 [...]
