答案和详解如下： 1.Given the following information, which bond has the greater interest rate risk and what is the change in price if rates increase by 50 basis points?
| Duration | Convexity | Bond A | 4.5 | 45.8 | Bond B | 7.8 | 125.0 |
A) Bond B, change in price = -3.59%. B) Bond B, change in price = -27.4%. C) Bond A, change in price = -2.14%. D) Bond A, change in price = -9.35%. The correct answer was A) Bond B has the greater interest rate risk since the change in price is larger than bond A.
Change in price = (-D x change in bp x100) + (C x change in bp2 x100)
Bond A = (-4.5 x 0.005 x 100) + (45.8 x 0.0052 x 100) = -2.25 + 0.1145 = -2.14%
Bond B = (-7.8 x 0.005 x 100) + (125 x 0.0052 x 100) = -3.9 + 0.3125 = -3.59% 2.The option adjusted spread (OAS) is used to analyze risk by adjusting for the embedded options. Which of the following risks does the OAS reflect? A) Prepayment risk. B) Inflation risk. C) Maturity risk. D) Credit risk. The correct answer was D) The OAS reflects credit risk and liquidity risk. 3.Given the following information, which bond has the greater interest rate risk and what is the change in price if rates increase by 50 basis points?
| Par | Market Price | PVBP per $1,000 par value | Bond A | 2,000,000 | 1,987,500 | 0.885 | Bond B | 7,000,000 | 8,588,250 | 1.025 |
A) Bond B, change in price = - $88,500. B) Bond A, change in price = - $358,750. C) Bond A, change in price = - $88,500. D) Bond B, change in price = - $358,750. The correct answer was D) PVBP (price value of a basis point) is the absolute value of the change in bond value for a 1 basis point change in yield.
Change in price = -PVBP x change in basis point x par in thousands
Bond A = -0.885 x 50 x 2,000 = -88,500
Bond B = -1.025 x 50 x 7,000 = -358,750 | 
发表于 2008-5-20 16:40
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