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标题: Reading 54: Term Structure and Volatility of Interest Rates [打印本页]

作者: youzizhang 时间: 2009-3-17 18:02 标题: [2009] Session 14-Reading 54: Term Structure and Volatility of Interest Rates

LOS f: Compute and interpret the yield curve risk of a security or a portfolio, using key rate duration.

Q1. What adjustment must be made to the key rate durations to measure the risk of a steepening of an already upward sloping yield curve?

A) Increase all key rates by the same amount.

B) Decrease the key rates at the short end of the yield curve.

C) Increase the key rates at the short end of the yield curve.

[此贴子已经被作者于2009-3-17 18:05:34编辑过]

作者: youzizhang 时间: 2009-3-17 18:05 标题: [2009] Session 14-Reading 54: Term Structure and Volatility of Interest Rates

LOS f: Compute and interpret the yield curve risk of a security or a portfolio, using key rate duration. fficeffice" />

Q1. What adjustment must be made to the key rate durations to measure the risk of a steepening of an already upward sloping yield curve?

A) Increase all key rates by the same amount.

B) Decrease the key rates at the short end of the yield curve.

C) Increase the key rates at the short end of the yield curve.

Correct answer is B)

Decreasing the key rates at the short end of the yield curve makes an upward sloping yield curve steeper. Performing the corresponding change in portfolio value will determine the risk of a steepening yield curve.

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