答案和详解如下： 11.Maria Cavilero, a bond investor, is most concerned with price volatility. All else equal, which of the following fixed-coupon bonds would she most likely buy? A fixed coupon-bond with: A) 10 years to maturity and an 8.5% coupon. B) 10 years to maturity and a 6.5% coupon. C) 15 years to maturity and an 8.5% coupon. D) 15 years to maturity and a 6.5% coupon. The correct answer was A) This question is asking: given a change in yield, which of the bonds will exhibit the least price change? Of the four choices, Cavilero is most likely to buy the bond with the shortest maturity and highest coupon because it will have the least price volatility. Price volatility is directly related to maturity and inversely related to the coupon rate.
All else equal, the bond with the shorter term to maturity is least sensitive to changes in interest rates. Cash flows that are further into the future are discounted more than near-term cash flows, so the nearer to maturity the cash flows are received, the higher the present value. Here, this means that one of the 10-year bonds will have the least volatility. Similar reasoning applies to the coupon rate. A higher coupon bond delivers more of its total cash flow earlier than a lower coupon bond. All else equal, a bond with a higher coupon will exhibit less price volatility than a lower-coupon bond. Here, this means that of the 10-year bonds, the one with the 8.50% coupon rate will exhibit less price volatility than the bond with the 6.50% coupon.
12.Which of the following 10-year fixed-coupon bonds has the most price volatility? All else equal, the bond with a coupon rate of:
A) 5.00%. B) 6.00%. C) 7.00%. D) 8.00%. The correct answer was A) If bonds are identical except for the coupon rate, the one with the lowest coupon will exhibit the most price volatility. This is because a bond’s price is determined by discounting the cash flows. A lower-coupon bond pays more of its cash flows later (more of the cash flow is comprised of principal at maturity) than a higher-coupon bond does. Longer-term cash flows are discounted more heavily in the present value calculation. Another way to think about this: The relationship between the coupon rate and price volatility (all else equal) is inverse – a greater coupon results in less price volatility. Examination tip: If you get confused on the examination, remember that a zero-coupon bond has the highest interest rate risk because it delivers all its cash flows at maturity. Since a zero-coupon bond has a 0.00% coupon, a low coupon equates to high price volatility.
13.Which of the following fixed-coupon bonds has the least price volatility? All else equal, the bond with a maturity of:
A) 5 years. B) 10 years. C) 15 years. D) 20 years. The correct answer was A) If bonds are identical except for maturity, the one with the shortest maturity will exhibit the least price volatility. This is because a bond’s price is determined by discounting the value of the cash flows. A shorter-term bond pays its cash flows earlier than a longer-term bond, and near-term cash flows are not discounted as heavily. Another way to think about this: The relationship between maturity and price volatility (all else equal) is direct – a greater maturity results in greater price volatility.
14.Which of the following five year bonds has the highest interest rate sensitivity?
A) floating rate bond. B) callable 5% coupon bond. C) zero-coupon bond. D) option-free 5% coupon bond. The correct answer was C) The duration of a zero-coupon bond is equal to its time to maturity. Its price is greatly affected by changes in interest rates because its only cash-flow is at maturity and is discounted from the time at maturity until the present.
15.Which of the following bonds has the highest interest rate sensitivity? A:
A) ten year option-free 6% coupon bond. B) five year 5% coupon bond callable in one year. C) ten year option-free 4% coupon bond. D) five year option-free 5% coupon bond. The correct answer was C) If two bonds are identical in all respects except their term to maturity, the longer term bond will be more sensitive to changes in interest rates. All else the same, if a bond has a lower coupon rate when compared with another, it will have greater interest rate risk. Therefore, for the option-free bonds, the 10 year 4% coupon is the longest term and has the lowest coupon rate. The call feature does not make a bond more sensitive to changes in interest rates, because it places a ceiling on the maximum price investors will be willing to pay. If interest rates increase enough the bonds will be called in. | 
发表于 2008-4-8 14:55
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