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CFA Level I：Fixed Income - Risks associated with investing in bonds 习题精选
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9 S8 D) j+ [7 \' }# `! @31. For a 10-year floating-rate security, if market interest rates change by 1%, the change in the value of the security will most likely be:
" C8 S( g4 t' ?0 @A. zero. : Z8 R4 H1 z+ N( F, _, f: y* `
B. related to the security’s coupon reset frequency. 4 O/ t* X+ m2 m/ R& n
C. similar to an otherwise identical fixed-rate security. 9 ]7 l- X- ^ H0 l
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) V4 l* C7 W4 b( {32. Duration is most accurate as a measure of interest rate risk for a bond portfolio when the slope of the yield curve: 5 F r) R3 O: H: x& ]
A. increases.
: B; r3 m6 q8 G( QB. decreases.
- l5 _/ A8 p. R; CC. stays the same.
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33. One reason why the duration of a portfolio of bonds does not properly reflect that portfolio’s yield curve risk is that the duration measure: 4 D6 h" ^2 T0 c3 j2 X
A. ignores differences in coupon rates across bonds. # o9 U) V% I' K# d5 M8 h6 W* H# E+ I
B. assumes all the bonds have the same discount rate. - B7 ~' _2 |8 Z+ q
C. assumes all yields change by the same amount.
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1 q# k& |. n8 N' j! t" x34. A bond is selling for 98.6. It is estimated that the price will fall to 97.0if yields rise 30 bps and that the price will rise to 100.5 if yields fall 30 bps. Based on these estimates, the duration of the bond is closest:
" a% R8 I- E. Z7 e, {A. 5.92.
* |' y( K2 I1 `# m! [B. 1.78 1 h D. x/ [0 K# u% g- H
C. 2.96.
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: P8 p4 c0 C. G9 K9 x35. A fixed income portfolio manager owns a $4 million par value non-callable bond. The bond’s duration is 5.4 and the current market value is $4,125,000. The dollar duration of the bond is closest to:
- I0 b. d0 L3 } m/ J4 T5 C/ ?, \A. 200,000. / A8 }1 I. }9 k, A
B. 216,000. ' g( x) o0 N* h
C. 222,750.
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发表于 2016-1-14 10:41:45
发表于 2019-5-20 11:42:15
