爱考云 - 搜题找答案神器_海量试题解析在线查

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 [...]

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 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 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 For consol, the Macaulay duration is 选项 A.1+1\/y B.1\/y C.1\/(1+y) D.1\/(1+y)+1 答案 A 解析 MAC.D=M.D*(1+y)对于consol，麦考利久期是1 1/y。 [...]

题目 Suppose that the yield curve is upward sloping. Which of the following statements is TRUE? 选项 A.The forward rate yield curve is above the zero-coupon yield curve, which is above the [...]

题目 Which of the following statements regarding the trustee named in a corporate bond indenture is correct? 选项 A.The trustee has the authority to declare a default if the issuer misses a [...]

题目 Which of the following statements related to conducting stress tests incorrect? 选项 A.Basel\u2161requires banks to undertake stress tests for assessing capital adequacy at least once a [...]