以下是引用youzizhang在2009-3-16 17:48:00的发言：
Q2. 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 only 3 rates change while the others remain constant?
- 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) $1,009,469.00.
B) $1,038,925.00.
C) $961,075.00.
| 
发表于 2009-5-22 14:08
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