爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Assume the coupon curve of prices for Ginnie Maes in June 2001 is as follows: 6 percent at 92; 7 percent at 94, and 8 percent at 96.5. What is the effective duration of this MBS? 选项 A.2.45 [...]

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 The rate of change of duration with respect to the underlying yield of a fixed income bond is called: 选项 A.Convexity B.Delta C.Theta D.DVBP 答案 A 解析 Answer: AConvexity measures how [...]

题目 When the maturity of a plain coupon bond increases, its duration increases: 选项 A.indefinitely and regularly B.up to a certain level C.indefinitely and progressively D.in a way dependent on [...]

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 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 A $100 bond with 7.0 years to maturity has a 4.0% per annum coupon rate that is paid semi-annually. What is the effective convexity of the bond when the yield is 4.0% such that the bond's [...]

题目 A portfolio has the following composition: I Bond portfolio A: price $90,000, modified duration 2.5, long position in 8 bonds II Bond portfolio B: price $110,000, modified duration 3, short [...]

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 [...]

题目 A 30-year bond pays a semi-annual coupon with a coupon rate of 2.0%. The bond's yield (YTM) is 7.0% and its current price is $37.64. What is the bond's dollar value of an '01 (DV01; aka, DVBP [...]