9.Carol Stephens, CFA, manages a relatively small portfolio for one of her clients. Stephens feels that interest rates will change over the next year but is uncertain about the extent and direction. She is confident, however, that the yield curve will change in a nonparallel manner and that modified duration will not accurately measure her portfolio's yield-curve risk exposure. To help her evaluate the risk of her clients' portfolio, she has assembled the table of rate durations shown below. Issue | Value ($1,000's) | 3 mo | 2 yr | 5 yr | 10 yr | 15 yr | 20 yr | 25 yr | 30 yr | Bond 1 | 100 | 0.03 | 0.14 | 0.49 | 1.35 | 1.71 | 1.59 | 1.47 | 4.62 | Bond 2 | 200 | 0.02 | 0.13 | 1.47 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | Bond 3 | 150 | 0.03 | 0.14 | 0.51 | 1.40 | 1.78 | 1.64 | 2.34 | 2.83 | Bond 4 | 250 | 0.06 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | Bond 5 | 300 | 0.00 | 0.88 | 0.00 | 0.00 | 1.83 | 0.00 | 0.00 | 0.00 |
What is the value of the portfolio if all rates remain constant EXCEPT: §
The 3-month rate increases by 20 basis points. §
The 5-year rate increases by 90 basis points. §
The 30-year rate decreases by 150 basis points. A) $961,075.00. B) $1,009,469.00. C) $990,531.00. D) $1,038,925.00.
10.If the entire yield curve undergoes a parallel shift such that the rate at all key maturities increases by 50 basis points, what will the value of the portfolio be?
A) $961,075.00. B) $1,019,462.50. C) $1,038,925.00. D) $980,537.50.
11.What is the value of Bond 4 if 3-month rates remain constant and all other rates increase by 135 basis points?
A) $250,000.00. B) $229,750.00. C) $243,375.00. D) $270,250.00.
12.Which of the following statements about yield curves is least accurate?
A) The slope of the yield curve changes slightly following a parallel shift. B) Twists and butterfly shifts are examples of nonparallel yield curve shifts. C) The slope of the yield curve may change significantly following a nonparallel shift. D) A positive butterfly means that the yield curve has become less curved.
13.Which of the following statements about yield curves is most accurate?
A) A twist refers to changes to the degree to which the yield curve is humped. B) A butterfly shift refers to yield curve changes when the slope becomes either flatter or steeper. C) A yield curve gets steeper when spreads widen. D) A negative butterfly means that the yield curve has become less curved.
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发表于 2008-4-18 11:21
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