爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Your supervisor is an expert in market and credit risk. He recruits you to manage the operational risk department. He would like to use VaR to measure the firm’s operational risk and [...]

题目 A 30-year 4.0% semi-annual coupon bond has a price of $100.00 at a yield of 4.00%. At this 4.00% yield the bond has a modified duration of 17.380 years. If the yield drops by one basis point, [...]

题目 Which of the following measurement approaches for assessing operational risk would be most appropriate for small banks? 选项 A.Loss frequency approach B.Basic indicator approach [...]

题目 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? 选项 A.9 B.10 C.99 D.100 答案 A 解析 [...]

题目 Which of the following assumptions are made when using DV01 as a measure of interest rate risk? I. Changes in the interest rates are small. II. The yield curve is flat. III. Changes to the [...]

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 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 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 [...]