Question 106
Which of the following statements about duration is most accurate?
A) Modified duration is the most appropriate measure of interest rate sensitivity for bonds with embedded options.
B) Effective duration is calculated from past price changes in response to changes in yield. C) Effective duration accounts for changes in a bond’s cash flows resulting from interest rate changes. D) Macaulay duration provides a better measure of interest rate risk than modified duration because it takes the yield to maturity into account. Question 107
Bond A has a yield of 7.25% while bond B has a yield of 7.65%. What is the relative yield spread for the pair of bonds?
A) 0.052.
B) 0.400. C) 0.055. D) -0.400.
Question 108
Which of the following statements about refunding and redemption is most accurate?
A) A sinking fund is an example of refunding.
B) An investor concerned about premature redemption is indifferent between a noncallable bond and a nonrefundable bond. C) A nonrefundable bond can be redeemed with funds from operations, from a new equity issue, or from a lower coupon issue. D) Bonds redeemed at the special redemption price are typically redeemed at par.
Question 109
Of the following four otherwise identical bonds, which is likely to exhibit the greatest price volatility?
A) 10% coupon bond with 20 years to maturity.
B) 5% coupon bond with 10 years to maturity. C) 5% coupon bond with 20 years to maturity. D) 10% coupon bond with 10 years to maturity. Question 110
Which of the following statements regarding collateralized debt obligations (CDOs) is least accurate?
A) An arbitrage CDO may be created by a sponsor seeking to profit from the spread between the rate earned on the underlying debt obligations and the rate promised to the CDO holders.
B) CDOs are often issued in tranches based on the seniority of claims to the cash flows of the underlying debt obligations. C) CDOs typically have a higher credit rating than the debt obligations in the underlying pool. D) A balance sheet CDO may be created by a bank or insurance company seeking to reduce its loan exposure.
[此贴子已经被作者于2008-11-8 15:34:38编辑过] | 
发表于 2008-5-26 13:46
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