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题目 Each of the following bond risk measures assumes a parallel shift in the yield curve EXCEPT FOR: 选项 A.Duration B.Convexity C.Yield-based DV01 D.Key rate shift 答案 D 解析 Convexity is [...]

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 The following table provides the initial price of a C-STRIP and its present value after application of a one basis point shift in four key [...]

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 [...]

题目 An investor buys a US Treasury 4s of May 31, 2023 at a price of $922.05 for settlement on June 1st, 2013. The yield on this 10-year bond is 5.00% as, per the TI BA II+ calculator, N = 20, I/Y [...]

题目 A 1-year 7.25% coupon bond is trading at a price of 98, a 2-year 6.1% coupon bond is trading at 99, and a 3-year 7.55% coupon bond is trading at 101. All coupons and rates are given using the [...]

题目 The eighteen-month forward curve is upward sloping with the following sequence of six-month forward rates: F(0,0.5) = S(0.5) = 1.0%, F(0.5, 1.0) = 3.0%, F(1.0,1.5) = 5.0%. What is the price of [...]

题目 Your colleague Peter is building a model that will estimate the sensitivity of your firm's bond portfolio to interest rate changes. He is evaluating six different models. Each of his candidate [...]