Financial Markets and Products & Valuation and Risk Models
1.In managing a portfolio of domestic corporate bonds, which of the following risks
position of the dayis least important?
A.Interest rate risks
B.Concentration risks
C.Spread risks
D.Foreign exchange risks
Answer: D
如何将ascii码转换为字2.Use a stated rate of 9% compounded periodically to answer the following three
questions. Select the choice that is the closest to the correct answer.
(1) The semi-annual effective rate is:
A.9.00%
B.10.25%
C.9.20%
D.9.31%
Answer: C
(2) The quarterly effective rate is:
A.9.00%
B.9.31%
C.9.20%
D.9.40%
Answer: B
(3) The continuously compounded rate is:
A.9.42%
B.9.20%
C.9.45%
D.9.67%
Answer: A
3.The following Treasury zero rates are exhibited in the marketplace:
    6 months = 1.25%
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    1 year = 2.35%
1.5 years =
2.58%
    2 years = 2.95%
Assuming continuous compounding, the price of a 2-year Treasury bond that pays
a 6 percent semiannual coupon is closest to:
A.105.20
B.103.42
C.108.66
D.105.90
Answer: D
4.  A two-year zero-coupon bond issued by corporate XYZ is currently rated A. One
year from now XYZ is expected to remain at A with 85% probability, upgraded to AA with 5% probability, and downgraded to BBB with 10% probability. The risk free rate is flat at 4%. The credit spreads are flat at 40, 80, and 150 basis points for AA, A, and BBB rated issuers, respectively. All rat
es are compounded annually.
Estimate the expected value of the zero-coupon bond one year from now (for USD 100 face amount). Fixed Income Securities:
A.USD 92.59
B.USD 95.33
C.USD 95.37
D.USD 95.42
Answer: C
5.Assuming the long-term yield on a perpetual note is 5%, compute the dollar value
of a 1 bp. Increase in the yield (DV01) for a perpetual note paying a USD 1,000,000 annual coupon.
A.-20,000
B.-30,000
C.-40,000
D.-50,000
Answer: C
6.Given the following portfolio of bonds:
What is the value of the portfolio’s DV01 (Dollar value of 1 basis point)?
A.8,019
B.8,294
C.8,584
D.8,813
Answer: C
7.Assuming other things constant, bonds of equal maturity will still have different
DV01 per USD 100 face value. Their DV01 per USD 100 face value will be in the following sequence of highest value to lowest value:
A.Premium bonds, par bonds, zero coupon bonds
B.Zero coupon bonds, Premium bonds, par bonds
C.Premium bonds, zero coupon bonds, par bonds
D.Zero coupon bonds, par bonds, Premium bonds
Answer: A
8.Which of the following statements about standard fixed rate government bonds
with no optionality is TRUE?
I.Higher coupon implies shorter duration.
II.Higher yield implies shorter duration.
III.Longer maturity implies larger convexity.
A.I and II only
B.II and III only
C.I and III only
D.I, II, and III
Answer: D
9.Which of the following is not a property of bond duration?
A.For zero-coupon bonds, Macaulay duration of the bond equals its years to
maturity.
B.Duration is usually inversely related to the coupon of a bond.
C.Duration is usually higher for higher yields to maturity.
D.Duration is higher as the number of years to maturity for a bond selling at
par or above increases.
Answer: C
10.Estimated price changes using only duration tend to:
A.Overestimate the increase in price that occurs with a decrease in yield for
large changes in yield.
B.Underestimate the decrease in price that occurs with a increase in yield for
large changes in yield.
C.Overestimate the increase in price that occurs with a decrease in yield for
small changes in yield.
D.Underestimate the increase in price that occurs with a decrease in yield for
large changes in yield.
Answer: D
11.A portfolio consists of two positions: One position is long $100M of a two year
bond priced at 101 with a duration of 1.7; the other position is short $50M of a five year bond priced at 99 with a duration of 4.1. What is the duration of the portfolio?
A.0.68
B.0.61
C.-0.68
D.-0.61
Answer: D
12.A zero-coupon bond with a maturity of 10 years has an annual effective yield of
10%. What is the closest value for its modified duration?
A.9
人体所需常量元素和微量元素B.10
C.100
D.Insufficient Information
Answer: A
13.A portfolio manager uses her valuation model to estimate the value of a bond
portfolio at USD 125.482 million.The term structure is flat.Using the same model,she estimates that the value of the portfolio would increase to USD 127.723 million if all the interest rates fell by 30bp and would decrease to USD 122.164 million if all the interest rates rose by 30bp.Using these estimates,the effective duration of the bond is closest to :
A.  8.38
B.  16.76
C.  7.38
D.  14.77
Answer: C
14.A portfolio manager has a bond position worth USD 100 million. The position has
8086汇编语言程序设计例题a modified duration of eight years and a convexity of 150 years. Assume that the
term structure is flat. By how much does the value of the position change if interest rates increase by 25 basis points?
A.USD -2,046,875
B.USD -2,187,500
C.USD -1,953,125
D.USD -1,906,250
Answer: C
15.An investment in a callable bond can be analytically decomposed into a:
A.Long position in a non-callable bond and a short position in a put option
B.Short position in a non-callable bond and a long position in a call option
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C.Long position in a non-callable bond and a long position in a call option
D.Long position in a non-callable and a short position in a call option
Answer: D
16.A European bank exchanges euros for USD, lends them at the U.S. risk-free rate,
and simultaneously enters into a forward contract to sell the loan proceeds for euros at loan maturity. If the net effect of these transactions is to earn the risk-free euro rate, it is an example of:
A.Arbitrage
B.Spot-forward equality
C.Interest rate parity
D.The law of one price
Answer: C
17.At the inception of a six-month forward contract on a stock index, the value of the
index was $1,150, the interest rate was 4.4%, and the continuous dividend was
1.8%. Three months later, the value of the index is $1,075. Which of the following
statement is True? The value of the:
A.long position is $82.41.
B.long position is $47.56.
C.short position is $47.56.
D.long position is -$82.41.
Answer: D
18.Assuming the 92-day and 274 day interest rate is 8% (act/360, money market yield)
compute the 182-day forward rate starting in 92 days (act/360, money market yield).
A.7.8%
B.8.0%
C.8.2%
D.8.4%
Answer: B

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