新用戶掃碼下載
掃碼下載APP
及時接收最新考試資訊及
備考信息
"Fixed Income": Bond portfolio interest rate risk
學習是一個不斷積累的過程，每天學習一點，每天進步一點！為了幫助大家更高效地備考2021年CFA考試，正保會計網校每日為大家上新CFA習題供大家練習。讓網校與您一起高效備考2021年CFA考試，夢想成真！
Questions 1:
All else being equal, the difference between the nominal spread and the Z-spread for a non-Treasury security will most likely be larger when the:
A 、yield curve is steep.
B 、security has a bullet maturity rather than an amortizing structure.
C 、yield curve is flat.
Questions 2:
Duration is most accurate as a measure of interest rate risk for a bond portfolio when the slope of the yield curve:
A 、stays the same.
B 、decreases.
C 、increases.
View answer resolution
【Answer to question 1】A
【analysis】
A is correct. The main factor causing any difference between the nominal spread and the Z-spread is the shape of the Treasury spot rate curve. The steeper the spot rate curve, the greater the difference.
B is incorrect because for a bullet maturity security the nominal spread and Z-spread will be approximately the same, but it will be greater for an amortizing security.
C is incorrect because when the yield curve is flat the nominal spread and Z-spread will be approximately the same.
【Answer to question 2】A
【analysis】
A is correct. Duration measures the change in the price of a portfolio of bonds if the yields for all maturities change by the same amount; that is, it assumes the slope of the yield curve stays the same.
B is incorrect because duration assumes the slope stays the same.
C is incorrect because duration assumes the slope stays the same.
成功=時間+方法，自制力是這個等式的保障。世上無天才，高手都是來自刻苦的練習。而人們經常只看到“牛人”閃耀的成績，其成績背后無比寂寞的勤奮。小編相信，每天都在勤奮練習，即使是一點點的進步，大家一定可以成為人人稱贊的“牛人”。
學員討論（0）
推薦閱讀
新用戶掃碼下載
京公網安備 11010802044457號
