Question 1

Which of the following variables is used in the approximation tangent equation?

Accepted Answer

A)  Duration. 
B)  Fall in interest rate. 
C)  Interest rate. 
D)  All of the above. 
A)  Duration. 
B)  Fall in interest rate. 
C)  Interest rate. 
D)  All of the above.

Question 2

Kirkwood and Idil (2009) noted that, prior to the middle of 2007, approximately _________of corporate funding was obtained from retained earnings, while the remainder was obtained from banks, debt markets and equity markets.

Accepted Answer

A)  90% 
B)  one- third 
C)  10% 
D)  two- thirds 
A)  90% 
B)  one- third 
C)  10% 
D)  two- thirds

Question 3

When we will calculate the change in price that occurs when the market yield increases by one basis point, it is known as:

Accepted Answer

A)  convexity. 
B)  modified duration. 
C)  YTM. 
D)  PVBP. 
A)  convexity. 
B)  modified duration. 
C)  YTM. 
D)  PVBP.

Question 4

The 'duration gap' is defined as the duration of the assets in a portfolio minus the duration of the liabilities in a portfolio.

Accepted Answer

A) True 
 B)False

Question 5

Duration gap is equal to:

Accepted Answer

A)  DA + DL 
B)  FV × DA - DL 
C)  DA - DL 
D)  DA × DL 
A)  DA + DL 
B)  FV × DA - DL 
C)  DA - DL 
D)  DA × DL

Question 6

Minimising the average cost of funding is a strategy used by active managers.

Accepted Answer

A) True 
 B)False

Question 7

An active portfolio manager always immunises his portfolio.

Accepted Answer

A) True 
 B)False

Question 8

A highly leveraged operation will easily meet its interest payments when interest rates rise sharply.

Accepted Answer

A) True 
 B)False

Question 9

If your primary task is to manage the risk of a bond portfolio and the yield curve is upward sloping, how would you achieve your goal by changing the constituents of your portfolio?

Accepted Answer

An upward sloping yield curve is an indi

Question 10

Only interest rate futures can be used to immunise portfolios.

Accepted Answer

A) True 
 B)False

Which of the following variables is used in the approximation tangent equation?

Kirkwood and Idil (2009) noted that, prior to the middle of 2007, approximately _________of corporate funding was obtained from retained earnings, while the remainder was obtained from banks, debt markets and equity markets.

When we will calculate the change in price that occurs when the market yield increases by one basis point, it is known as:

The 'duration gap' is defined as the duration of the assets in a portfolio minus the duration of the liabilities in a portfolio.

Duration gap is equal to:

Minimising the average cost of funding is a strategy used by active managers.

An active portfolio manager always immunises his portfolio.

A highly leveraged operation will easily meet its interest payments when interest rates rise sharply.

If your primary task is to manage the risk of a bond portfolio and the yield curve is upward sloping, how would you achieve your goal by changing the constituents of your portfolio?

Only interest rate futures can be used to immunise portfolios.

Financial Markets

Debt Securities and Markets

Introduction to Financial Calculations

Banks and Other Deposit Taking Institutions

The Payments System

Managed and Superannuation Funds

Interest Rates, the Yield Curve and Monetary Policy

The Foreign Exchange Market

Listed Securities

Fixed Rate Derivatives

Options

Global Financial Crisis

Managing Foreign Exchange Risk

Filters

Exam 14: Managing Interest Rate Risk

Which of the following variables is used in the approximation tangent equation?

Kirkwood and Idil (2009) noted that, prior to the middle of 2007, approximately _________of corporate funding was obtained from retained earnings, while the remainder was obtained from banks, debt markets and equity markets.

When we will calculate the change in price that occurs when the market yield increases by one basis point, it is known as:

The 'duration gap' is defined as the duration of the assets in a portfolio minus the duration of the liabilities in a portfolio.

Duration gap is equal to:

Minimising the average cost of funding is a strategy used by active managers.

An active portfolio manager always immunises his portfolio.

A highly leveraged operation will easily meet its interest payments when interest rates rise sharply.

If your primary task is to manage the risk of a bond portfolio and the yield curve is upward sloping, how would you achieve your goal by changing the constituents of your portfolio?

Only interest rate futures can be used to immunise portfolios.

Financial Markets

Debt Securities and Markets

Introduction to Financial Calculations

Banks and Other Deposit Taking Institutions

The Payments System

Managed and Superannuation Funds

Interest Rates, the Yield Curve and Monetary Policy

The Foreign Exchange Market

Listed Securities

Fixed Rate Derivatives

Options

Global Financial Crisis

Managing Foreign Exchange Risk

Filters