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CFA一级 Fixed Income(下)经典习题

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Fixed  Income 经典十题 

【题1】Compared with an otherwise identical coupon bond, a zero-coupon bond will most likely have:
A. Less reinvestment risk and more market price risk.

B. More reinvestment risk and less market price risk.

C. Same level of reinvestment risk and market price risk.

【题2】Which of the following debt securities could provide different levels of prepayment risk for investors?

A. Collateralized mortgage obligations

B. Mortgage passthrough securities

C. Mortgage loans

【题3】Consider the following statements about non-callable bonds

John: For non-callable bonds, duration provides only a linear approximation of a bond’s price change as interest rate changes.

Linda: Incorporating convexity into the analysis of a non-callable bond’s price changes as interest rates change always results in higher bond price estimates than derived by using only the bond’s duration. This is true whether interest rates increase or decrease.

A. Both John and Linda are correct.

B. John is correct while Linda is incorrect.

C. John is incorrect while Linda is correct.

【题4】A coupon-bearing bond purchased when issued at par value was held until maturity during which time interest rates rose. The ex-post realized return of the bond investment most likely was:

A. Above the YTM at the time of issue.

B. Below the YTM at the time of issue.

C. Equal to the YTM at the time of issue because the bond was held until maturity.

【题5】Which of the following statements regarding duration measurement is correct?

A. If two bonds have the same duration, then the percentage change in price of the two bonds will be the same for a given change in interest rates.

B. For option-free bond, duration sometimes underestimates what new price will be for a given yield change, while it sometimes overestimates the price change.

C. Duration is only a good measure of interest rate risk for small changes in yield.

【题6】An investor with an investment horizon of six years buys a bond with a modified duration of 6.0. For this investor’s exposure to interest rate risk:

A. Coupon reinvestment risk dominates, the investor is at the risk of lower interest rate.

B. Market price risk dominates, the investor is at the risk of higher interest rate.

C. The investor hedged against interest rate risk.

【题7】 Which of the following statements regarding yield volatility is most accurate? If the term structure of yield volatility is downward sloping, then:

A. Short-term rates are higher than long-term rates.

B. Long-term yields are more stable than short-term yields.

C. Short-term bonds will always experience greater price fluctuation than long-term bonds.

【题8】Effective duration is more appropriate than modified duration for estimating interest rate risk for bonds with embedded options because these bonds:

A. tend to have greater credit risk than option-free bond.

B. exhibit high convexity that makes modified duration less accurate.

C. have uncertain cash flows that depend on the path of interest rate changes.

【题9】 Which of the following three option-free premium bonds (similar except for yield and maturity) has the least Macaulay duration? A bond with:

A. 5% yield and 10-year maturity

B. 5% yield and 20-year maturity

C. 6% yield and 10-year maturity

【题10】Assuming no change in the credit risk of a bond, the presence of an embedded put option:

A. reduces the effective duration of the bond.

B. increases the effective duration of the bond.

C. does not change the effective duration of the bond.

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