FRM一级习题(市

FRM一级习题(市

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1 Financial Markets and Products & Valuation and Risk Models 1. In managing a portfolio of domestic corporate bonds, which of the following risks is least important? A. Interest rate risks B. Concentration risks C. Spread risks D. Foreign exchange risks 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% (2) The quarterly effective rate is: A. 9.00% B. 9.31% C. 9.20% D. 9.40% (3) The continuously compounded rate is: A. 9.42% B. 9.20% C. 9.45% D. 9.67% 3. The following Treasury zero rates are exhibited in the marketplace: 6 months = 1.25% 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 4. A two-year zero-coupon bond issued by corporate XYZ is currently rated A. One
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2 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 rates 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 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 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 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 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
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3 B. II and III only C. I and III only D. I, II, and III 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. 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.
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This note was uploaded on 11/02/2011 for the course FINANCE 611 taught by Professor Liyang during the Spring '11 term at Covenant School of Nursing.

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FRM一级习题(市

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