爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Which of the following characteristics do not describe top-down approaches to operational risk measurement compared to bottom-up approaches? I Relatively simple. II Ability to differentiate [...]

题目 A and B are two perpetual bonds, i.e., their maturities are infinite. A has a coupon of 4 percent and B has a coupon of 8 percent. Assuming that both bonds are trading at the same yield, what [...]

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 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 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 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 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 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 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 [...]