ADMS4504-Final-Sample2 - Name ID #_Section_ AP/ADMS4504...

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Name ID #________________Section_______ AP/ADMS4504 Fixed Income Securities and Risk Management Final Exam Winter 2010 April 12, 2010 Type A Exam This exam consists of 50 multiple choice questions and carries a total of 100 points . Choose the response which best answers each question. Circle your answer below , and fill in your answers on the bubble sheet . Only the bubble sheet is used to determine your exam score . Please do not forget to write your name and ID # at the top of this cover page and on the bubble sheet. Also please write the type of your exam ( A or B ) on the bubble sheet. Please note the following points : 1) Read the questions carefully and use your time efficiently . 2) Choose the answers that are closest to yours, because of possible rounding. 3) Keep at least 4 decimal places in your calculations and at least 2 in your final answers, unless otherwise stated. 4) Each question is worth 2 points. 5) Interest rates are annual unless otherwise stated. 6) You may use the back of the exam paper as your scrap paper. If you need additional scrap paper, please raise your hand and ask . 32 Numerical Questions (2 points each) Key maturity Portfolio I Portfolio II Portfolio III 3-month 0.06 0.19 0.10 1-year 0.11 0.22 0.34 2-year 0.23 0.31 0.56 5-year 1.48 0.25 0.60 7-year 0.45 0.24 0.62 10-year 0.33 0.32 0.64 15-year 0.67 2.12 0.72 20-year 0.50 0.44 0.66 25-year 1.52 0.30 0.53 30-year 0.36 0.12 0.46 1
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1. The above are the key rate durations for three portfolios of Treasury securities. One of these three portfolios is of ladder type; one is of barbell type; and another one is of bullet type. Consider the following nonparallel shift in the Treasury yield curve: the 5-year rate decreases by 35 basis points (bps), the 15-year rate increases by 20 bps, and the 25-year rate decreases by 40 bps. The rates for all other key maturities experience no change. What is the approximate change in the portfolio value for the ladder type portfolio? A) A 0.27% decrease. B) A 0.27% increase. C) A 0.28% decrease. D) A 0.28% increase. E) A 0.29% increase. 2. Use the following daily yield observations to calculate a daily standard deviation of yields. The daily yield changes are assumed to be continuously compounded. Day Yield (%) 0 6.8112 1 6.7881 2 6.8203 3 6.8066 4 6.8122 5 6.8216 A) 0.3166% B) 0.3206% C) 0.3126% D) 0.3246% E) 0.3086% 3. Use the daily yields in the following table to construct a 3-day moving average equal weight volatility (i.e., standard deviation) forecast for Day 5, assuming that the expected value of the daily change in yield is zero. Day Yield (%) 0 3.750 1 3.752 2 3.749 3 3.746 4 3.744 2
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5 3.748 A) 0.0962% B) 0.0985% C) 0.1016% D) 0.1020% E) 0.1026% 4. Assume normally distributed yield changes. The annual standard deviation of yields is 22%. The current level of yield is 5.6%. Which one of the following is the most likely range for future yields with a probability of 99.7%? A) [1.842%; 8.969%]
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This note was uploaded on 12/17/2010 for the course ATKINSON adms 4504 taught by Professor Nabil during the Fall '10 term at York University.

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ADMS4504-Final-Sample2 - Name ID #_Section_ AP/ADMS4504...

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