Schweser Notes, 2011 CFA Exam, Level 3- Book 3 – Fixed by Schweser Kaplan

By Schweser Kaplan

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Additional resources for Schweser Notes, 2011 CFA Exam, Level 3- Book 3 – Fixed Income Portfolio Management, Fixed Income Derivatives, and Equity Portfolio Management

Sample text

2010 Kaplan, Inc. indb 51 Page 51 8/18/2010 2:56:51 PM Study Session 9 Cross-Reference to CFA Institute Assigned Reading #28 – Fixed-Income Portfolio Management—Part I Study Session 9 Answers – Concept Checkers 1. C Portfolio duration is computed as a weighted average of the individual bond durations. 60 2. 2. 3. C The bond portfolio is potentially exposed to spread risk, default risk, and interest rate risk. 4. C The option-adjusted spread (OAS) is determined using a binomial interest-rate tree.

B. reinvestment risk and price risk. C. duration sensitivity and price risk. To immunize a portfolio consisting of a single coupon bond against a future liability, an investor should select a bond that: A. has a duration that equals the liability horizon. B. has a duration that exceeds the liability horizon. C. has a maturity date that extends beyond the liability horizon. 11. An extension of immunization that uses cash matching during the early years of a liability schedule and duration matching in the later years is referred to as: A.

Option-adjusted or adjusted duration), which is used to estimate the change in the value of a portfolio given a small parallel shift in the yield curve, is probably the most obvious risk factor to be measured. Due to the linear nature of duration, which causes it to underestimate the increase and overestimate the decrease in the value of the portfolio, the convexity effect is also considered. Key rate duration measures the portfolio’s sensitivity to twists in the yield curve by indicating the portfolio’s sensitivity to certain interest rates.

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