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"Fixed Income":Understanding Fixed-Income Risk and Return

来源: 正保会计网校 编辑:小鞠橘桔2020/10/19 09:42:17 字体:

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Questions 1:

A credit analyst is least likely to use matrix pricing to estimate the required yield and price of a(n):

A 、newly underwritten bond.

B、 actively traded speculative grade bond.

C 、inactively traded investment grade bond.

Questions 2:

An analyst uses a valuation model to estimate the value of an option-free bond at 92.733 to yield 11%. If the value is 94.474 for a 60 bp decrease in yield and 91.041 for a 60 bp increase in yield, the approximate modified duration of the bond is closest to:

A、 3.09.

B 、6.17.

C 、1.85.

View answer resolution
【Answer to question 1】B

【analysis】

B is correct. Matrix pricing is most suited to pricing inactively traded bonds and newly underwritten bonds.

A credit analyst is least likely to use matrix pricing to price an actively traded bond. A is incorrect because matrix pricing is most suited to pricing newly underwritten bonds.

C is incorrect because matrix pricing is most suited to pricing inactively traded bonds.

【Answer to question 2】A

【analysis】

Fixed Income:Understanding Fixed-Income Risk and Return

B is incorrect because it ignores the 2 in the denominator.

C is incorrect because it uses ΔYield = 0.01 (1%).

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