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Unformatted text preview: iv. The Treasury yield curve is flat at 8.0% v. The credit spread for the issuer is 350 basis points at all maturities What is the total effective return on this investment, assuming a 1 year investment horizon, a coupon reinvestment rate of 6%, no change in the treasury yield curve at the horizon date, and a 250 basis point decline in the credit spread for all maturities at the horizon date? b. 8.71% c. 17.42% d. 18.05% e. 18.18% 3) Issuer exposure is commonly associated with which of the following types of risk? a. Event risk b. Income risk c. Principal risk d. Yield Risk 4) Given a market value of $100,000 for an issue AAA and duration of 6, what is the duration contribution of issue AAA to a portfolio valued at $150 million with a duration of 9? a. 0.004 b. 0.006 c. 0.660 d. 0.025...
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This note was uploaded on 04/04/2012 for the course ECON 313 taught by Professor India during the Spring '12 term at University of San Francisco.
- Spring '12