财经大学固定收益证券期末考题

固定收益证券试题及答案一、单项选择题（每题2分，共20分）1. 固定收益证券的主要风险不包括以下哪一项？A. 利率风险B. 信用风险C. 流动性风险D. 汇率风险答案：D2. 以下哪个不是固定收益证券的特点？A. 收益固定B. 投资期限长C. 风险较低D. 价格波动大答案：D3. 债券的票面利率与市场利率的关系是：A. 总是相等的B. 总是不等的C. 有时相等，有时不等D. 以上都不对答案：C4. 如果市场利率上升，而债券的票面利率保持不变，那么债券的：A. 价格上升B. 价格下降C. 价格不变D. 与市场利率无关答案：B5. 以下哪个不是固定收益证券的种类？A. 政府债券B. 企业债券C. 股票D. 金融债券答案：C6. 债券的到期收益率是指：A. 债券的票面利率B. 债券的当前市场价格C. 投资者持有到期的年化收益率D. 债券的发行价格答案：C7. 以下哪个因素不会影响固定收益证券的收益率？A. 发行主体的信用等级B. 债券的期限C. 市场利率水平D. 投资者的风险偏好答案：D8. 债券的久期是指：A. 债券的到期时间B. 债券的加权平均到期时间C. 债券的票面金额D. 债券的发行时间答案：B9. 以下哪个不是影响债券价格的因素？A. 债券的票面利率B. 债券的信用等级C. 债券的发行量D. 市场利率的变化答案：C10. 以下哪个是固定收益证券投资的主要目的？A. 资本增值B. 获得稳定的现金流C. 参与公司决策D. 投机取利答案：B二、多项选择题（每题3分，共15分）11. 固定收益证券的收益来源主要包括哪些？（ACD）A. 利息收入B. 股票升值C. 资本利得D. 再投资收益12. 以下哪些因素会影响固定收益证券的信用风险？（ABD）A. 发行主体的财务状况B. 经济环境的变化C. 投资者的个人偏好D. 法律和政策环境13. 固定收益证券的流动性通常与以下哪些因素有关？（ACD）A. 债券的发行量B. 债券的票面利率C. 市场交易的活跃度D. 债券的到期时间14. 以下哪些措施可以降低固定收益证券的投资风险？（ABD）A. 分散投资B. 选择信用等级较高的债券C. 增加投资金额D. 关注市场利率变动15. 固定收益证券的久期与以下哪些因素有关？（ABC）A. 债券的现金流时间B. 每笔现金流的金额C. 每笔现金流的现值D. 债券的票面利率三、判断题（每题1分，共10分）16. 固定收益证券的风险总是低于股票。

固定收益证券期末试题一、选择题1. 根据发行主体的不同，固定收益证券可以分为以下哪种类型？A. 企业债券B. 政府债券C. 股票D. 人民币存款2. 收益率曲线是用来表示不同期限的债券收益率之间的关系的图形。

以下哪种情况可以导致收益率曲线倒挂？A. 经济衰退预期B. 通胀预期上升C. 政府债务水平下降D. 股票市场上涨3. 债券的名义本金是指：A. 购买债券时需要支付的本金B. 债券的面值C. 债券的发行价D. 债券的剩余偿还本金4. 下面哪种固定收益证券是由中央政府发行的？A. 地方政府债券B. 金融债券C. 中票D. 国债5. 利率风险可以通过以下哪种方法来管理？A. 多元化投资组合B. 套利交易C. 期货交易D. 外汇交易二、填空题1. _________是指固定收益证券的到期时间。

2. 成交量和交易金额之间的关系可以通过计算_________来表达。

3. 政府债券是由_________发行的一种固定收益证券。

4. 利率风险可以通过买入_________来进行对冲。

5. 债券的票面利率是指债券到期时按_________支付的利息。

三、简答题1. 简要说明固定收益证券的基本特点和投资风险。

固定收益证券是指具有固定还本付息期限的金融工具，其特点包括：- 收益权明确：债券持有人在固定的时间间隔内会获得固定的利息收益，同时在债券到期时可以收回本金。

- 本息保障：发行债券的主体会根据约定的利息和还本计划按时支付债券持有人的利息和本金。

- 流动性较高：固定收益证券在二级市场具有一定的流动性，投资者可以通过买卖债券来获得资金。

- 本金回收时间较长：债券的期限可能较长，投资者需要考虑资金的锁定期。

固定收益证券的投资风险主要包括：- 利率风险：债券价格与市场利率呈反向关系，市场利率上升会导致债券价格下降。

- 信用风险：发行债券的主体信用状况恶化或违约可能导致无法按期支付利息和本金。

- 流动性风险：二级市场上固定收益证券的买卖可能受限，投资者可能无法按时变现。

1、某8年期债券，第1~3年息票利率为6.5%，第4~5年为7%，第6~7年为7.5%，第8年升为8%，该债券就属于（A 多级步高债券）。

3、固定收益产品所面临的最大风险是（B 利率风险）。

5、目前我国最安全和最具流动性的投资品种是（B 国债）6、债券到期收益率计算的原理是（A 到期收益率是购买债券后一直持有到期的内含报酬率）。

7、在纯预期理论的条件下，下凸的的收益率曲线表示（B 短期利率在未来被认为可能下降）。

9、如果债券嵌入了可赎回期权，那么债券的利差将如何变化？(B 变小)11、5年期，10%的票面利率，半年支付。

债券的价格是1000元，每次付息是（B 50元）。

12、若收益率大于息票率，债券以（A 低于）面值交易；13、贴现率升高时，债券价值（A 降低）14、随着到期日的不断接近，债券价格会不断（C 接近）面值。

15、债券的期限越长，其利率风险（A 越大）。

16、投资人不能迅速或以合理价格出售公司债券，所面临的风险为（B 流动性风险）。

17、投资于国库券时可以不必考虑的风险是（A 违约风险）18、当市场利率大于债券票面利率时，一般应采用的发行方式为（B 折价发行）。

19、下列投资中，风险最小的是（B 购买企业债券）。

20、下面的风险衡量方法中，对可赎回债券风险的衡量最合适的是（B 有效久期）。

26、以下哪项资产不适合资产证券化？(D 股权)27、以下哪一种技术不属于内部信用增级？（C 担保）28、一位投资经理说：“对债券组合进行单期免疫，仅需要满足以下两个条件：资产的久期和债务的久期相等；资产的现值与负债的现值相等。

（B 不对，因为还必须考虑信用风险）固定收益市场上，有时也将（A.零息债券）称为深度折扣债券。

下列哪种情况，零波动利差为零？A.如果收益率曲线为平某人希望在5年末取得本利和20000元，则在年利率为2％，单利计息的方式下，此人现在应当存入银行（B.18181、82）元。

在投资人想出售有价证券获取现金时，证券不能立即出售的风险被称为（C.变现力风险）。

精选资料，欢迎下载广东工业大学华立学院考试试卷( A )课程名称: 固定收益证券 （ 2学分） 考试时间: 201 年 月 日A 、普通股B 、债券C 、回购协议D 、大额可转让存单2、债券反映的是（ ）关系。

A 、所有权B 、信托C 、代理D 、债权债务3、下列哪一项不属于债券的基本要素（ ）。

A 、票面利率B 、偿还期限C 、利息D 、面值4、可转换公司债券的本质是一种（ ）交易。

A 、现货B 、远期C 、期货D 、期权5、债券投资者面临多种风险，以下不是系统风险的是（ ）。

A 、汇率风险B 、市场风险C 、管理风险D 、利率风险6、政府债券不包括（ ）。

A 、中央政府债券B 、地方政府债券C 、国际债券D 、政府机构债券7、货币市场金融工具不包括( )。

A 、贷款B 、商业票据C 、短期债券D 、央行票据8、债券市场交割方式T+0指的是( )交割。

A 、当日B 、次日C 、标准D 、例行日9、某上市公司首次发行债券的市场属于（ ）市场。

A 、一级B 、二级C 、流通D 、交易10、某上市公司发行债券筹集资金，该公司资产负债表资产（ ）、负债（ ）。

A 、减少 增加 B 、增加 增加 C 、减少 减少 D 、增加 减少（ ）11、某固定收益证券期限越长，则流动性越（）、风险越（）。

（）A、弱大B、弱小C、强大D、强小12、债券资产的价格是（）。

A、收益B、利息C、利率D、利润13、下列指标不考虑货币时间价值的是（）。

A、适当贴现率B、到期收益率C、赎回收益率D、当期收益率14、“金边债券”指的是（）。

A、国债B、公司债券C、国际债券D、金融债券15、一般情况下，下列资产风险最大的是（）。

A、国库券B、银行存款C、股票D、固定收益债券16、以下债券不属于外国债券的是（）。

A、扬基债券B、欧洲债券C、武士债券D、龙债券17、货币时间价值原理的四个基本参数不包括（）。

A、期数B、每期利率C、期限D、现值E、终值18、债券评级机构评定债券等级，下列（）债券安全性最高。

固定收益证券期末试题一、选择题1. 固定收益证券的主要特点是（）。

A. 收益固定B. 风险较低C. 流动性较好D. 所有以上选项2. 下列关于债券的陈述，哪一项是正确的？A. 债券的市场价格与利率呈正相关B. 债券的市场价格与利率呈负相关C. 债券的信用评级越高，其收益率越高D. 债券的到期时间越长，其价格对利率的敏感度越低3. 债券的到期收益率（YTM）是指（）。

A. 债券的当前市场价格B. 债券的持有期回报率C. 债券的内部收益率D. 如果持有债券直到到期所能获得的年化收益率4. 债券的信用风险可以通过以下哪种方式降低？A. 购买高信用评级的债券B. 增加债券投资的多样性C. 购买债券期权D. 所有以上选项5. 以下哪种类型的债券通常具有最高的信用风险？A. 国债B. 地方政府债券C. 公司债D. 可转换债券二、简答题1. 请简述固定收益证券的定义及其主要类型。

2. 描述债券的久期以及它如何帮助投资者管理利率风险。

3. 解释债券信用评级的基本原理，并举例说明不同信用评级对投资者的意义。

三、计算题1. 假设你购买了一张面值为1000元，年票面利率为5%，剩余期限为10年的债券，当前市场价格为950元。

请计算该债券的到期收益率（YTM）。

2. 假设你持有一张面值为1000元，票面利率为6%，剩余期限为5年的债券，你预计在2年后将其出售。

如果当前的即期利率为4%，请使用久期估算你持有的债券在2年后的大致市场价格。

四、论述题1. 论述固定收益证券在投资组合管理中的作用及其对投资组合风险和收益的影响。

2. 分析当前经济环境下，投资者应如何选择合适的固定收益证券策略来优化其投资组合。

3. 讨论利率变动对固定收益证券市场的影响，以及投资者可以采取哪些策略来应对这些变动。

请注意，以上内容仅为试题框架，具体答案需要根据实际情况和所学知识进行详细解答。

在撰写答案时，应确保分析准确、逻辑清晰，并结合实际案例或数据支持观点。

固定收益证券试题及部分答案班级序号：学号：姓名：成绩：1）Explain why you agree or disagree with the following statement: “The price of a floater will always trade at its par value.”Answer:I disagree with the statement: “The price of a floater will always trade at its par value.”First, the coupon rate of a floating-rate security (or floater) is equal to a reference rate plus some spread or margin. For example, the coupon rate of a floater can reset at the rate on a three-month Treasury bill (the reference rate) plus 50 basis points (the spread). Next, the price of a floater depends on two factors: (1) the spread over the reference rate and (2) any restrictions that may be imposed on the resetting of the coupon rate. For example, a floater may have a maximum coupon rate called a cap or a minimum coupon rate called a floor. The price of a floater will trade close to its par value as long as (1) the spread above the reference rate that the market requires is unchanged and (2) neither the cap nor the floor is reached. However, if the market requires a larger (smaller) spread, the price of a floater will trade below (above) par. If the coupon rate is restricted from changing to the reference rate plus the spread because of the cap, then the price of a floater will trade below par.2）A portfolio manager is considering buying two bonds. Bond A matures in three years and has a coupon rate of 10% payable semiannually. Bond B, of the same credit quality, matures in 10 years and has a coupon rate of 12% payable semiannually. Both bonds are priced at par.(a) Suppose that the portfolio manager plans to hold the bond that is purchased for three years. Which would be the best bond for the portfolio manager to purchase?Answer:The shorter term bond will pay a lower coupon rate but it will likely cost less for a given market rate.Since the bonds are of equal risk in terms of creit quality (The maturity premium for the longer term bond should be greater),the question when comparing the two bond investments is:What investment will be expecte to give the highest cash flow per dollar invested?In other words,which investment will be expected to give the highest effective annual rate of return.In general,holding the longer term bond should compensate the investor in the form of a maturity premium and a higher expected return.However,as seen in the discussion below,the actual realized return for either investment is not known with certainty.To begin with,an investor who purchases a bond can expect to receive a dollar return from(i)the periodic coupon interest payments made be the issuer,(ii)ancapital gainwhen the bond matures,is called,or is sold;and (iii)interest income generated from reinvestment of the periodic cash flows.The last component of the potential dollar return is referred to as reinvestment income.For a standard bond(our situation)that makes only coupon payments and no periodic principal payments prior to the maturity date,the interim cash flows are simply the coupon payments.Consequently,for such bonds the reinvestment income is simply interest earned from reinvesting the coupon interest payments.For these bonds,the third component of the potential source of dollar return is referred to as the interest-on-interest components.If we are going to coupute a potential yield to make a decision,we should be aware of the fact that any measure of a bond’s potential yield should take into consideration each of the three components described above.The current yield considers only the coupon interest payments.No consideration is given to any capital gain or interest on interest.The yield to maturity takes into account coupon interest and any capitalgain.It also considers the interest-on-interest component.Additionally,implicit in the yield-to-maturity computation is the assumption that the coupon payments can be reinvested at the computed yield to maturity.The yield to maturity is a promised yield and will be realized only if the bond is held to maturity and the coupon interest payments are reinvested at the yield to maturity.If the bond is not held to maturity and the couponpayments are reinvested at the yield to maturity,then the actual yield realized by an investor can be greater than or less than the yield to maturity.Given the facts that(i)one bond,if bought,will not be held to maturity,and(ii)the coupon interest payments will be reinvested at an unknown rate,we cannot determine which bond might give the highest actual realized rate.Thus,we cannot compare them based upon this criterion.However,if the portfolio manager is risk inverse in sense that she or he doesn’t want to buy a longer term bond,which will likel have more variability in its return,then the manager might prefer the shorter term bond(bondA) of thres years.This bond also matures when the manager wants to cash in the bond.Thus,the manager would not have to worry about any potential capital loss in selling the longer term bond(bondB).The manager would know with certainty what the cash flows are.IfThese cash flows are spent when received,the manager would know exactly how much money could be spent at certain points in time.Finally,a manager can try to project the total return performance of a bond on the basis of the panned investment horizon and expectations concerning reinvestment rates and future market yields.This ermits the portfolio manager to evaluate thich of several potential bonds considered for acquisition will perform best over the planned investment horizon.As we just rgued,this cannot be done using the yield to maturity as a measure of relative .coming total returnto assess performance over some investment horizon is called horizon analysis.When a total return is calculated oven an investment horizon,it is referred to as a horizon return.The horizon analysis framwor enabled the portfolio manager to analyze the performance of a bond under different interest-rate scenarios for reinvestment rates and future market yields.Only by investigating multiple scenarios can the portfolio manager see how sensitive the bond’s performance will be to each scenario.This can help the manager choosebetween the two bond choices.(b) Suppose that the portfolio manager plans to hold the bond that is purchased for six years instead of three years. In this case, which would be the best bond for the portfolio manager to purchase?Answer:Similear to our discussion in part(a),we do not know which investment would give the highest actual relized return in six years when we consider reinvesting all cash flows.If the manager buys a three-year bond,then there would be the additional uncertainty of now knowing what three-year bond rates would be in three years.The purchase of the ten-year bond would be held longer than previously(six years compared to three years)and render coupon payments for a six-year period that are known.If these cash flows are spent when received,the manager will know exactly how much money could be spent at certain points in timeNot knowing which bond investment would give thehighest realized return,the portfolio manager would choose the bond that fits the firm’s goals in terms of maturity.3）Answer the below questions for bonds A and B.Bond A Bond BCoupon 8% 9%rYield to maturity 8% 8%Maturity (years) 2 5Par $100.00 $100.00Price $100.00 $104.055(a) Calculate the actual price of the bonds for a 100-basis-point increase ininterest rates.Answer:For Bond A, we get a bond quote of $100 for our initial price if we have an 8% coupon rate and an 8% yield. If we change the yield 100 basis point so the yield is 9%, then the value of the bond (P) is the present value of the coupon payments plus the present value of the par value. We have C = $40, y = 4.5%, n = 4, and M = $1,000. Inserting these numbers into our present value of coupon bond formula, we get:41111(1)(10.045)$40$143.5010.045nr P C r ????--???? ===????????????????The present value of the par or maturity value of $1,000 is:4$1,000$838.561(1)(1.045)n M r == Thus, the value of bond A with a yield of 9%, a coupon rate of 8%, and a maturity of 2 years is: P = $143.501 $838.561 = $982.062. Thus, we get a bond quote of $98.2062. We already know that bond B will give a bond value of $1,000 and a bond quote of $100 since a change of 100 basis points will make the yield and couponrate the same, For example, inserting Thus, the value of bond A with a yield of 9%, a coupon rate of 8%, and a maturity of 2 years is: P = $143.501 $838.561 = $982.062. Thus, we get a bond quote of $98.2062. We already know that bond B will give a bond value of $1,000 and a bond quote of $100 since a change of 100 basis points will make the yield and coupon rate the same, For example, inserting(b) Using duration, estimate the price of the bonds for a 100-basis-point increase in interest rates.Answer:To estimate the price of bond A, we begin by first computing the modified duration. We can use an alternative formula that does not require the extensive calculations required by the Macaulay procedure. The formula is:211(100/)1(1)(1)n n Cn C y y y y Modified Duration P ??-- ?? ??=Putting all applicable variables in terms of $100, we have C = $4, n = 4, y = 0.045, and P = $98.2062. Inserting these values, in the modified duration formula gives: 212451(100/)$414($100$4/0.045)11(1)(1)0.045(1.045)(1.045)98.2062n n C n C y y y y Modified Duration P ????--- - ???? ????===($1,975.308642[0.161439] $35.664491) / $98.2062 = ($318.89117 $35.664491) / $98.2062 = $354.555664 / $98.2062 = 3.6103185 or about 3.61. Converting to annual number by dividing by two gives a modified duration of 1.805159 (before the increase in 100 basis points it was 1.814948). We next solve for the change in price using the modified duration of 1.805159 and dy = 100 basis points = 0.01. We have: ()() 1.805159(0.01)0.0180515dP Modified Duration dy P=-=-=- We can now solve for the new price of bond A as shown below:(1)(10.0180515)$1,000$981.948dP P P=-= This is slightly less than the actual price of $982.062. The difference is $982.062 –$981.948 = $0.114. To estimate the price of bond B, we follow the same procedure just shown for bond A. Using the alternative formula for modified duration that does not require the extensive calculations required by the Macaulay procedure and noting that C = $45, n = 10, y = 0.045, and P = $100, we get:21210111(100/)$4.5110($100$4.5/0.045)11(1)(1)0.045(1.045)(1.045)$100n n C n C y y y y Modified Duration P ????--- - ???? ????== ($791.27182 $0) / $100 = 7.912718 or about 7.91 (before the increase in 100 basis points it was7.988834 or about 7.99). Converting to an annual number by dividing by two gives a modified duration of 3.956359 (before the increase in 100 basis points it was 3.994417). We will now estimate the price of bond B using the modified durationmeasure. With 100 basis points giving dy = 0.01 and an approximate duration of 3.956359, we have:()() 3.956359(0.01)0.0395635dP Modified Duration dy P=-=-=-Thus, the new price is(1 –0.0395635)$1,040.55 = (0.9604364)$1,040.55 = $999.382.This is slightly less than the actual price of $1,000. The difference is $1,000 –$999.382 = $0.618.(c) Using both duration and convexity measures, estimate the price of the bonds for a 100-basis-point increase in interest rates. Answer:For bond A, we use the duration and convexity measures as given below. First, we use the duration measure. We add 100 basis points and get a yield of 9%. We now have C = $40, y = 4.5%, n = 4, and M = $1,000. NOTE. In part (a) we computed the actual bondprice and got P = $982.062. Prior to that, the price sold at par (P = $1,000) since the coupon rate and yield were then equal. The actual change in price is: ($982.062 –$1,000) = $17.938 and the actual percentage change in price is: $17.938 / $1,000 = 0.017938%. We will now estimate the price by first approximating the dollar price change. With 100 basis points giving dy = 0.01 and a modified duration computed in part (b) of 1.805159, we have:()() 1.805159(0.01)0.01805159dP Modified Duration dy P=-=-=- This is slightly more negative than the actual percentage decrease in price of1.7938%. The difference is 1.7938% –( 1.805159%) = 1.7938% 1.805159% = 0.011359%. Using the 1.805159% just given by the duration measure, the new price for bond A is:(1)(10.01805159)$1,000$981.948dP P P=-= This is slightly less than the actual price of $982.062. The difference is $982.062 –$981.948 = $0.114. Next, we use the convexity measure to see if we can account for the difference of 0.011359%. We have: convexity measure(half years) =2232121212(1)(100/)11(1)(1)(1)n n n d P C Cn n n C y dy P y y y y y P ???? -??=-- ?????? ?????? For bond A, we add 100 basis points and get a yield of 9%. We now have C = $40, y = 4.5%, n = 4, and M = $1,000. NOTE. In part (a) we computed the actual bond price and got P = $982.062. Prior to that, the price sold at par (P = $1,000) since the coupon rate and yield were then equal. Expressing numbers in terms of a $100 bond quote, we have: C = $4, y = 0.045, n = 4, and P = $98.2062. Inserting these numbers into our convexity measure formula gives:convexity measure (half years) = 342562$412($4)44(5)(100$4/0.045)1116.93250.045(1.045)0.045(1.045)(1.045)$ 98.2062y ????-=??-- =???????????? 2216.9325() 4.2331252Convexity Measure inm period per year TheConvexity Measure in years m === Adding the duration measure and the convexity measure, we get 1.805159% 0.021166% = 1.783994%. Recall the actual change in price is: ($982.062 –$1,000) = $17.938 and the actual percentage change in price is: $17.938 / $1,000 = ?0.017938 or approximately 1.7938%. Using the 1.783994% resulting from both the duration and convexity measures, we can estimate the new price for bond A. We have:Pr (1)(10.01783994)$1,000(0.9819484)$1,000$982.160dP New ice P P= = -== Adding the duration measure and the convexity measure, we get 1.805159% 0.021166% = 1.783994%. Recall the actual change in price is: ($982.062 –$1,000) = $17.938 and the actual percentage change in price is: $17.938 / $1,000 = ?0.017938 or approximately 1.7938%. Using the 1.783994% resulting from both the duration and convexity measures, we can estimate the new price for bond A. We have:()() 3.056359(0.01)0.0395635dP Modified Duration dy P=-=-=- This is slightly more negative than the actual percentage decrease in price of -3.896978%. The difference is (-3.896978%)-(-3.95635%)=0.059382%Using the -3.95635%just given by the duration measure, the new price for Bond B is: (1)(10.0395635)$1,040.55$999.382dP P P=-=This is slightly less than the actual price of $1,000. This difference is $1,000-$999.382=$0.618We use the convexity measure to see if we can account for the difference of 00594%. We have:2232121212(1)(100/)1()1(1)(1)(1)n n n d P C Cn n n C y Convexity Measure half years dy P y y y y y P ???? -??==-- ?????? ?????? For Bond B, 100 basis points are added and get a yield of 9%. We now have C=$45, y=4.5%, n=10, and M=$1,000. Note in part (a), we computed the actual bond price and got P=$1,000 since the coupon rate and yield were then equal. Prior to that, the price sold at P=$1,040.55. Expressing numbers in terms of a $100 bond quote, we have C=$4.5, y-0.045, n=10 and P=$100. Inserting these numbers into our convexity measure formula gives:310211122($4.5)12($4.5)410(11)(100$4.5/0.045)1()1(0.045)(1.045)(0.045)(1.04 5)(1.045)$100Convexity Measure half years ????-??=-- ???????????? 7,781.03[0.01000]77.8103==The convexity measure (in years)=2277.810319.4525642convexitymeasureinm period per year m == Note. DollarConvexity Measure=Convexity Measure (years) times P=19.452564($100)=$1,945.2564.The percentage price change due to convexity is 21()2dP convexity measure dy P = Inserting in the values, we get 21(77.8103)(0.01)0.000974632dP P == Thus, we have 0.097463% increase in price when we adjust for convexity measure.Adding the duration measure and convexity measure, we get -3.9563659% 0.097263% equals -3.859096%. Recall the actual change in price is ($1,000-$1,040.55)=-$40.55 and the actual new price is(1)(10.03859096)$1,040.55(0.9614091)$1,040.55$1,000.394dP P P-=-== For Bond A. This is about the same as the actual price of $1,000. The difference is $1,000.394-$1,000=$0.394. Thus, using the convexity measure along with the duration measure has narrowed the estimated price from a difference of -$0.618 to $0.394.(d) Comment on the accuracy of your results in parts b and c, and state why one approximation is closer to the actual price than the other.Answer:For bond A, the actual price is $982.062. When we use the duration measure, we get a bond price of $981.948 that is $0.114 less than the actual price. When we use duration and convex measures together, we get a bond price of $982.160. This is slightly more than the actual price of $982.062. The difference is $982.160 –$982.062 = $0.098. Thus, using the convexity measure along with the duration measure has narrowed the estimated price from a difference of $0.114 to $0.0981. For bond B, the actual price is $1,000. When we use the duration measure, we get a bond price of $999.382 that is $0.618 less than the actual price. When we use duration and convex measures together, we get a bond price of $1,000.394. This is slightly more than the actual price of $1,000. The difference is $1,000.394 –$1,000 = $0.394. Thus, using the convexity measure along with the duration measure has narrowed the estimated price from a difference of ?$0.618 to $0.394As we see, using the duration and convexity measures together is more accurate. The reason is that adding the convexity measure to our estimate enables us to include the second derivative that corrects for the convexity of the price-yield relationship. Moredetails are offered below. Duration (modified or dollar) attempts to estimatea convex relationship with a straight line (the tangent line). We can specify a mathematical relationship that provides a better approximation to the price change of the bond if the required yield changes. We do this by using the first two terms of a Taylor series to approximate the price change as follows:2221()(1)2dP d P dP dy dy error dy dy = Dividing both sides of this equation by P to get the percentage price change gives us: 22211()(2)2dP dP d P error dy dy P dy P dy P =The first term on the right-hand side of equation (1) is equation for the dollar price change based on dollar duration and is our approximation of the price change based on duration. In equation (2), the first term on the right-hand side is the approximate percentage change in price based on modified duration. The second term in equations(1) and (2) includes the second derivative of the price function for computing the value of a bond. It is the second derivative that is used as a proxy measure to correct for the convexity of the price-yield relationship. Market participants refer to the second derivative of bond price function as the dollar convexity measure of the bond. The second derivative divided by price is a measure of the percentage change in the price of the bond due to convexity and is referred tosimply as the convexity measure.(e) Without working through calculations, indicate whether the duration of the two bonds would be higher or lower if the yield to maturity is 10% rather than 8%.Answer: Like term to maturity and coupon rate, the yield to maturity is a factor that influences price volatility. Ceteris paribus, the higher the yield level, the lower the price volatility. The same property holds for modified duration. Thus, a 10% yield to maturity will have both less volatility than an 8% yield to maturity and also a smaller duration. There is consistency between the properties of bond price volatility and the properties of modified duration. When all other factors are constant, a bond with a longer maturity will have greater price volatility. A property of modified duration is that when all other factors are constant, a bond with a longer maturity will have a greater modified duration. Also, all other factors being constant, a bond with a lower coupon rate will have greater bond price volatility. Also, generally, a bond with a lower coupon rate will have a greater modified duration. Thus, bonds with greater durations will greater price volatilities.4）Suppose a client observes the following two benchmark spreads for two bonds:Bond issue U rated A: 150 basis pointsBond issue V rated BBB: 135 basis pointsYour client is confused because he thought the lower-rated bond (bond V) should offer a higher benchmark spread than the higher-rated bond (bond U). Explain why the benchmark spread may be lower for bond U.5）The bid and ask yields for a Treasury bill were quoted by a dealer as 5.91% and 5.89%, respectively. Shouldn’t the bid yield be less than the ask yield, because the bid yield indicates how much the dealer is willing to pay and the ask yield is what the dealer is willing to sell the Treasury bill for?Answer:The higher bid means a lower price. So the dealer is willing to pay less than would be paid for the lower ask price. We illustrate this below. Given the yield on a bank discount basis (Yd), the price of a Treasury bill is found by first solving the formula for the dollar discount (D), as follows:()()360d t D Y F = The price is then Price = F-DFor the 100-day Treasury bill with a face value (F) of $100,000, if the yield on a bank discount basis (Yd) is quoted as 5.91%, D is equal to:100()()0.0591($100,000)()$1,641.67360360d t D Y F ===Therefore, price = $100,000 –$1,641.67 = $98,358.33. For the 100-day Treasury bill with a face value (F) of $100,000, if the yield on a bank discount basis (Yd) is quoted as 5.89%, D is equal to:100()()0.0589($100,000)()$1,636.11360360d t D Y F === Therefore, price is: P = F –D = $100,000 –$1,636.11 = $98,363.89.Thus, the higher bid quote of 5.91% (compared to lower ask quote 5.89%) gives a lower selling price of $98,358.33 (compared to $98,363.89). The 0.02% higher yield translates into a selling price that is $5.56 lower. In general, the quoted yield on a bank discount basis is not a meaningful measure of the return from holding a Treasury bill, for two reasons. First, the measure is based on a face-value investment rather than on the actual dollar amount invested. Second, the yield is annualized according to a 360-day rather than a 365-day year, making it difficult to compare Treasury bill yields with Treasury notes and bonds, which pay interest on a 365-day basis. The use of 360 days for a year is a money market convention for some money market instruments, however. Despite its shortcomings as a measure of return, this is the method that dealers have adopted to quote Treasury bills. Many dealer quote sheets, and some reporting services, provide two other yield measures that attempt tomake the quoted yield comparable to that for a coupon bond and other money market instruments.6）What is the difference between a cash-out refinancing and a rate-and-term refinancing?Answer:When a lender is evaluating an application from a borrower who is refinancing, the loan-to-value ratio (LTV) is dependent upon the requested amount of the new loan and the market value of the property as determined byan appraisal. When the loan amount requested exceeds the original loan amount, the transaction is referred to as a cash-out-refinancing. If instead, there is financing where the loan balance remains unchanged, the transaction is said to be a rate-and-term refinancing or no-cash refinancing. That is, the purpose of refinancing the loan is to either obtain a better note rate or change the term of the loan.7）Describe the cash flow of a mortgage pass-through security.Answer:The cash flow of a mortgage pass-through security depends on the cash flow of the underlying mortgage.The cash flow consists of monthly mortgage payments representing interest,the scheduled repayment of principal,and any prepayments. Payments are made to security holders each month.Neither theamount nor the timing,however,of the cash flow from the pool of mortgages is identical to that of the cash flow passed through to investors.The monthly cash flow for a pass-through is less than the monthly cash flow of the underlying mortgages by an amount equal to servicing and other fees.The other fees are those charged by the issuer or guarantor of the pass-through for guaranteeing the issue.The coupon rage on a pass-through,called the pass-through coupon rate,is less than the mortgage rage on the underlying pool of mortgage loans by an amount equal to the servicing and guaranteeing feesThe timing of the cash flow,like the amount of the cash flow,is also different.The monthly mortgage payment is due from each mortgagor on the first day of each month,but there is a delay in passing through the corresponding monthly cash flow to the securityholders.The length of the delay varies by the type of pass-through security. Because of prepayments,the cash flow of a pass-through is also not known with certainty.8）Explain the effect on the average lives of sequential-pay structures of including an accrual tranche in a CMO structure.。

东北财经大学“金融学”《证券投资学X》23秋期末试题库含答案第1卷一.综合考核(共20题)1.单位投资信托的投资组合需要根据市场情形主动调节以保持收益率。

()A.正确B.错误2.在市场模型中，β大于1的证券被称为防御型证券。

()A.正确B.错误3.下列关于资本资产定价模型的说法中，正确的是()。

A.股票的预期收益率与β值线性相关B.证券市场线的截距是无风险利率C.证券市场线的纵轴为要求的收益率，横轴是以β值表示的风险D.若投资组合的β值等于1，表明该组合没有市场风险4.5.6.引入无风险借贷后()。

A.所有投资者对风险资产的选择是相同的B.所有投资者选择的最优证券组合是相同的C.线性有效边界对所有投资者来说是相同的D.所有投资者对证券的协方差的估计变得不同了7.在阿尔法转移的过程中，我们可以使用()。

A.ETFB.指数基金C.标普500指数基金D.国债8.将风险厌恶引入效用函数：U=E(r)-1/2Aσ²，其中AA.风险中性B.风险厌恶C.风险喜爱D.风险无关9.10.财务报表综合分析的主要意义在于全面、准确、客观地揭示与披露企业财务状况和经营情况。

()A.正确B.错误11.下列关于凸性的描述正确的是()。

A.凸性可以描述大多数债券价格与收益率的关系B.凸性对投资者是有利的C.凸性无法弥补债券价格计算的误差D.其他条件不变时，较大的凸性更有利于投资者12.积极型投资组合管理策略的理论模型包括()。

A.特雷纳-布莱克模型B.CAPM模型C.布莱克-利特曼模型D.均值方差模型13.有效久期被定义为()。

A.债券价格与市场利率之比B.债券价格变化率与市场利率变化量之比C.债券价格变化率与市场利率之比D.债券价格变化率与市场利率变化率之比14.半强式有效市场假说认为股票价格()。

A.反映了以往的全部价格信息B.反映了全部的公开可得信息C.反映了包括内幕消息在内的全部相关信息D.是可以预测的15.市场达到有效的一个重要前提是所有影响证券价格的信息都是自由流动的。

C.半强式有效市场D.强式有效市场6．出现在底部的看涨形态是下列各项中的（ ）。

A 、旗形B 、头肩形C 、楔形D 、三角形 7．列哪项不是宏观经济政策？（ ）。

A.财政政策B.货币政策C.利率政策D.收入政策 8．证券投资分析的三个基本要素是( )。

A.理论、信息和方法B.价、量、时C.信息、步骤、方法D.策略、信息、理论 9．下列是开放式基金特有风险的是（ ）。

A 、市场风险B 、管理风险C 、技术风险D 、巨额赎回风险 10．基本分析的理论基础建立在下列哪个前提条件之上？( )。

A.市场的行为包含一切信息、价格沿趋势移动、历史会重复B.博奕论C.经济学、金融学、财务管理学及投资学等D.金融资产的真实价值等于预期现金流的现值 11．下列说法错误的一项是( )。

A.具有较高提前赎回可能性的债券具有较高的票面利率，其内在价值较低B.低利附息债券比高利附息债券的内在价值要高。

C.流通性好的债券比流通性差的债券具有较高的内在价值D.信用越低的债券，投资者要求的收益率越高，债券的内在价值就越高12．根据债券定价原理，如果一种附息债券的市场价格等于其面值，则其到期收益率( )其票面利率。

A.大于B.小于C.等于D.不确定 13．“正常的”收益率曲线意味着( )。

(1)预期市场收益率会下降 (2)短期债券收益率比长期债券收益率低 (3)预期市场收益率会上升 (4)短期债券收益率比长期债券收益率高A.（1）和（2）B.（3）和（4）C.（1）和（4）D.（2）和（3）14．行业经济活动是( )分析的主要对象之一。

A.微观经济B.中观经济C.宏观经济D.市场15．某一行业有如下特征：企业的利润由于一定程度的垄断达到了很高的水平，竞争风险比较稳定，新企业难以进入。

那么，这一行业最有可能处于生命周期的（）。

A、初创期阶段B、成长期阶段C、成熟期阶段D、衰退期阶段二、多项选择题(每题2分，共10分)16.理性的证券投资过程通常包括下列哪几个基本步骤( )。

1、某8年期债券,第1～3年息票利率为6。

5％，第4~5年为7%，第6~7年为7。

5%，第8年升为8％，该债券就属于（A 多级步高债券）。

3、固定收益产品所面临的最大风险是（B 利率风险）。

5、目前我国最安全和最具流动性的投资品种是（B 国债）6、债券到期收益率计算的原理是（A 到期收益率是购买债券后一直持有到期的内含报酬率）。

7、在纯预期理论的条件下，下凸的的收益率曲线表示（B 短期利率在未来被认为可能下降)。

9、如果债券嵌入了可赎回期权，那么债券的利差将如何变化?(B 变小）11、5年期,10％的票面利率，半年支付。

债券的价格是1000元，每次付息是（B 50元）。

12、若收益率大于息票率，债券以（A 低于)面值交易；13、贴现率升高时，债券价值（A 降低）14、随着到期日的不断接近，债券价格会不断（C 接近)面值.15、债券的期限越长，其利率风险(A 越大).16、投资人不能迅速或以合理价格出售公司债券，所面临的风险为（B 流动性风险）。

17、投资于国库券时可以不必考虑的风险是(A 违约风险）18、当市场利率大于债券票面利率时，一般应采用的发行方式为（B 折价发行）。

19、下列投资中，风险最小的是(B 购买企业债券）。

20、下面的风险衡量方法中，对可赎回债券风险的衡量最合适的是（B 有效久期）。

26、以下哪项资产不适合资产证券化？（D 股权)27、以下哪一种技术不属于内部信用增级？（C 担保）28、一位投资经理说:“对债券组合进行单期免疫，仅需要满足以下两个条件:资产的久期和债务的久期相等;资产的现值与负债的现值相等。

（B 不对，因为还必须考虑信用风险）固定收益市场上,有时也将（A。

零息债券）称为深度折扣债券.下列哪种情况，零波动利差为零？A.如果收益率曲线为平某人希望在5年末取得本利和20000元，则在年利率为2％,单利计息的方式下，此人现在应当存入银行（B.18181、82）元。

在投资人想出售有价证券获取现金时，证券不能立即出售的风险被称为（C。