答案和详解如下： 1.Which of the following statements best describes the concept of negative convexity in bond prices? As interest rates: A) fall, the bond's price increases at an increasing rate. B) rise, the bond's price approaches a minimum value. C) fall, the bond's price increases at a decreasing rate. D) rise, the bond's price decreases at a decreasing rate. The correct answer was C) Negative convexity occurs with bonds that have prepayment/call features. As interest rates fall, the borrower/issuer is more likely to repay/call the bond, which causes the bond’s price to approach a maximum. As such, the bond’s price increases at a decreasing rate as interest rates decrease. 2.Negative convexity is most likely to be observed in: A) callable bonds. B) zero coupon bonds. C) municipal bonds. D) treasury bonds. The correct answer was A) All noncallable bonds exhibit the trait of being positively convex and callable bonds have a negative convexity. Callable bonds have a negative convexity because once the yield falls below a certain point, as yields fall, prices will rise at a decreasing rate, thus giving the curve a negative convex shape. 3.Can a fixed income security have a negative convexity? A) No. B) Yes. C) Need more information to answer question. D) Yes, but only when the price yield curve is linear. The correct answer was B) Yes, fixed income securities can have a negative security. The only type of fixed income security with a negative convexity will be callable bonds. 4.How does the price-yield relationship for a putable bond compare to the same relationship for an option-free bond? The price-yield relationship is: A) the same for both bond types. B) more convex at some yields for the putable bond than for the option-free bond. C) more convex for a putable bond than for an option-free bond. D) concave for an option-free bond and convex for a putable bond. The correct answer was B) Since the holder of a putable has an incentive to exercise his put option if yields are high and the bond price is depressed, this puts a lower limit on the price of the bond when interest rates are high. The lower limit introduces a higher convexity of the putable bond compared to an option-free bond when yields are high. 5.Non-callable bond prices go up faster than they go down. This is referred to as: A) inverse features. B) negative convexity. C) positive convexity. D) embedded benefits. The correct answer was C) When bond prices go up faster than they go down, it is called positive convexity. | 
发表于 2008-5-15 16:43
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