Effective duration is essential to measuring interest rate risk of a bond with an embedded call option because:
it is measured as sensitivity to changes in the yield-to-worst.
举一反三
- The interest rate risk of a fixed-rate bond with an embedded call option is best measured by: A: Effective duration B: Modified duration C: Macaulay duration
- The interest rate risk of a fixed-rate bond with an embedded call option is best measured by:
- Increasing duration implies that interest - rate risk has increased.
- Which of the following steps is NOT used in the full valuation approach in measuring interest rate risk() A: Estimate hypothetical changes in required yields. B: Calculate the bond’s convexity. C: Recompute bond prices using the new required yields.
- The duration of a ten - year, 10 percent coupon bond when the interest rate is 10 percent is 6.76 years. What happens to the price of the bond if the interest rate falls to 8 percent?
内容
- 0
8.The risk investors have that a callable bond will be called when interest rates fall is Call risk. ( )
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When the interest rate on a bond is ____... rate will _________
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The coupon rate of bond is the interest rate specified in the bond, which is equal to the ratio of the annual interest over the value of bond.
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When the interest rate on a bond is below the equilibrium interest rate, there is excess _________ in the bond market and the interest rate will _________ A: demand; rise B: demand; fall C: supply; fall D: supply; rise
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When the interest rate on a bond is above the equilibrium interest rate, in the bond market there is excess ________ and the interest rate will ________. A: demand; rise B: demand; fall C: supply; fall D: supply; rise