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Chapter 06 Testbank

Student: ___________________________________________________________________________
1.
Duration is defined as:

A.
B.
C.
D.

the weighted-average time to maturity of a series of cash flows, using the relative present values of the cash flows as weights
the weighted-average present values of a series of cash flows using the timing of the cash flows as weights
the standard deviation of the time to maturity of a series of cash flows
an asset's or a liability's time to maturity

2.
Duration is seen as a more complete measure of an asset or a liability's interest rate sensitivity than maturity because it takes into account the:

A.
B.
C.
D.

size of cash flows


timing of cash flows
size of cash flows and the asset or liability's time to maturity
time of arrival of all cash flows plus the asset or liability's maturity

3.
The duration of an asset or a liability for which there are intervening cash flows between issue and maturity:

A.
B.
C.
D.

equals the asset or the liability's maturity


exceeds the asset or the liability's maturity
is smaller than the asset or the liability's maturity
Not enough information to answer this question

4.
The duration of a zero-coupon bond:

A.
B.
C.
D.

is smaller than its maturity


exceeds its maturity
equals its maturity
depends on the size and timing of intervening cash flows between issue and maturity

5.
The special feature of consol bonds is that:

A.
B.
C.
D.

their duration equals their maturity


their maturity is infinite, while their duration is finite
their maturity is finite, while their duration is infinite
both, their maturity and their duration, are infinite

6.
Suppose the yield of consol bond is 10%. Its duration is:

A.
B.
C.
D.

5 years
10 years
11 years
15 years

7.
Suppose the yield of five-year zero-coupon bond is 10%. Its duration is:

A.
B.
C.
D.

5 years
10 years
11 years
15 years

8.
Suppose the yield of five-year bond with 8% coupon is 10%. Its duration is:

A.
B.
C.
D.

less than 5 years


5 years
from 5 to 10 years
more than 10 years

9.
With increasing maturity of a fixed-income asset or liability the asset or liability's duration:

A.
B.
C.
D.

increases, but at a decreasing rate


decreases
increases at an increasing rate
increases at a constant rate

10.
The lower the coupon or interest payment on a security:

A.
B.
C.
D.

the lower its duration


coupon or interest payments have no impact on a security's duration
the higher its duration
None of the listed options are correct.

11.
Duration is a direct measure of the interest rate sensitivity of an asset or liability, which means that:

A.
B.
C.
D.

the smaller the duration, the more sensitive the price of that asset or liability
the larger the duration, the less sensitive the price of that asset or liability
the larger the duration, the more sensitive the price of that asset or liability
None of the listed options are correct.

12.
As interest rates increase the price of an asset or liability:

A.
B.
C.
D.

remains constant
decreases
increases
increases and it increases at a faster rate

13.
As interest rates decrease the price of an asset or liability:

A.
B.
C.
D.

remains constant
decreases
increases
increases and it increases at a faster rate

14.
The duration gap can be used to measure how changes in the interest rate affect an FI's:

A.
B.
C.
D.

net worth
maturity gap strategy
liquidity strategy
All of the listed options are correct.

15.
The leverage adjusted duration gap measures:

A.
B.
C.
D.

the change in an FI's net worth if interest rates change


the degree of duration mismatch in an FI's profit and loss statement
the degree of duration mismatch in an FI's balance sheet
All of the listed options are correct.

16.
The larger an FI's absolute leverage adjusted duration gap:

A.
B.
C.
D.

the less exposed the FI is to interest rate shocks


the more exposed the FI is to interest rate shocks
the lower the FI's net worth
None of the listed options are correct.

17.
The effect of interest rate changes on the market value of an FI's net worth breaks down into three effects, these being the leverage adjusted
duration gap, the:

A.
B.
C.
D.

size of the FI and the reputation of the FI


size of the FI and the size of the interest rate shock
reputation of the FI and the size of the interest rate shock
size of the FI and the direction of the interest rate changes

18.
Which of the following statements most appropriately responds to the critique that duration matching is costly and time consuming?

A. The critique is valid; however, the speed has been eased and transaction costs of balance sheet restructuring have been lowered due
to growth of purchased funds, asset securitisation and loan sales markets.
B. The critique is valid and FIs should spend funds in order to develop more efficient interest rate risk management tools.
C. The critique is valid, particularly because it is not possible for managers to get the same results of direct duration matching by
taking positions in derivatives markets.
D. None of the listed options are correct.
19.
The statement that a portfolio is immunised using duration matching:

A. means that the FI is entirely hedged against interest rate risks


B. is misleading as duration matching is a dynamic process and only hedges the FI against instantaneous interest rate changes
C. is misleading as duration matching is a dynamic process and only hedges the FI against interest rate changes that occur within a
month
D. None of the listed options are correct.
20.
Immunising the balance sheet to protect equity holders from the effects of interest rate risk occurs when:

A. the maturity gap is zero


B. the repricing gap is zero
C. the duration gap is zero
D. the effect of a change in the level of interest rates on the value of the assets of the FI is exactly offset by the effect of the same
change in interest rates on the liabilities of the FI
21.
Using the duration gap to measure the change in an FI's net worth in case of large interest rate shocks:

A.
B.
C.
D.

produces exact results


only produces exact results if interest rates change instantaneously
produces approximate results only due to concavity
produces approximate results only due to convexity

22.
Duration is a less accurate predictor for the change in an FI's net worth in case of large interest rate shocks because it assumes a:

A. linear relationship between the change in an asset or liability's price and the change in the interest rate, while the true relationship
is convex
B. linear relationship between the change in an asset or liability's price and the change in the interest rate, while the true relationship
is concave
C. convex relationship between the change in an asset or liability's price and the change in the interest rate, while the true relationship
is linear
D. concave relationship between the change in an asset or liability's price and the change in the interest rate, while the true
relationship is linear
23.
Convexity is defined as:

A.
the degree of curvature of the priceyield curve around some maturity level

B.
the degree of curvature of the priceyield curve around some price level

C.
the degree of curvature of the priceyield curve around some interest rate level

D. None of the listed options are correct.

24.
The modified duration is defined as:

A.
B.
C.
D.

duration multiplied by (1 + R)
duration divided by (1 + R)
duration minus (1 + R)
duration plus (1 + R)

25.
If yield is greater than 0 then the modified duration is the Macaulay duration:

A.
B.
C.
D.

greater than
equal to
smaller than
None of the listed options are correct.

26.
Which of the following statements is true?

A. Convexity is desirable because the larger the convexity the greater the interest rate protection against interest rate decreases and
the greater the potential gains following increasing interest rates.
B. Convexity is desirable because the larger the convexity the greater the interest rate protection against interest rate rises and the
greater the potential gains following decreasing interest rates.
C. Convexity is undesirable because the larger the convexity the lower the interest rate protection against interest rate rises and the
smaller the potential gains following decreasing interest rates.
D. Convexity is undesirable because the larger the convexity the lower the interest rate protection against interest rate decreases and
the smaller the potential gains following increasing interest rates.
27.
Which of the following statements is true?

A. All assets and liabilities are convex.


B. All fixed-income securities, including those with special option features, are convex.
C. All assets are convex, all liabilities are convex and all fixed-income securities, including those with special option features, are
convex.
D. None of the listed options are correct.
28.
For large interest rate shocks and large convexity of a fixed-income security or portfolio:

A.
B.
C.
D.

the error will not change compared to smaller interest rate shocks and lower convexity
the error will be smaller compared to smaller interest rate shocks and lower convexity
the error will be greater compared to smaller interest rate shocks and lower convexity
there will be no error as duration measures changes accurately

29.
Immunisation of a portfolio implies that changes in _______ will not affect the value of the portfolio.

A.
B.
C.
D.

book value of assets


maturity
interest rates
duration

30.
Consider a security with a face value of $100 000, which is to be repaid at maturity. The security pays an annual coupon of 8% and has a maturity
of three years. The current discount rate is 10%. What is the security's current price (round to two decimals)?

A.
B.
C.
D.

$124 000
$95 026.30
$19 894.82
$100 000

31.
Consider a security with a face value of $100 000, which is to be repaid at maturity. The security pays an annual coupon of 8% and has a maturity
of three years. The current discount rate is 10%. What is the security's duration (round to two decimals)?

A.
B.
C.
D.

2.78 years
3 years
0.36 years
1.94 years

32.
Consider a security with a duration of 2.78 years. The current interest rate level is 10% per annum. How does the price of the security change if
interest rates decrease by 100 basis points (round to two decimals)?

A.
B.
C.
D.

The price of the security will decrease by 1%.


The price of the security will increase by 1%.
The price of the security will decrease by 2.50%.
The price of the security will increase by 2.50%.

33.
Which of the following statements is true?

A.
B.
C.
D.

The optimal duration gap is zero.


Duration gap measures the impact of unanticipated changes in interest rates on the market value of equity.
The shorter the maturity of the FI's securities, the greater the FI's interest rate risk exposure.
The duration of all floating rate debt instruments is equal to the time to maturity.

34.
An FI purchases at par value a $100 000 Treasury Bond paying 10% interest with a 7.5 year duration. If interest rates rise by 4%, calculate the
bond's new value. Recall that Treasury Bonds pay interest semi-annually. Use the duration valuation equation.

A. +$28 571.43
B.
$20 864.46

C. +$20 864.46
D.
$28 571.43

35.
What is the duration of a five-year par value zero-coupon bond yielding 10% annually?

A.
B.
C.
D.

0.50 years
2 years
4.40 years
5 years

36.
Consider a security with a face value of $100 000 to be repaid at maturity. The maturity of the security is three years. The coupon rate is 9% per
annum and coupon payments are made semi-annually. The current discount rate is 12% per annum. What is the security's price (round your
answer to two decimals)?

A.
B.
C.
D.

$127 000.00
$100 000.00
$76 046.08
$92 624.01

37.
Consider a security with a face value of $100 000 to be repaid at maturity. The maturity of the security is three years. The coupon rate is 9% per
annum and coupon payments are made semi-annually. The current discount rate is 12% per annum. What is the security's duration (round your
answer to two decimals)?

A.
B.
C.
D.

2.68 years
2.68 half-years
3 years
0.38 years

38.
An FI has financial assets of $800 and equity of $50. If the duration of assets is 1.21 years and the duration of all liabilities is 0.25 years, what is
the leverage-adjusted duration gap?

A.
B.
C.
D.

0.9000 years
0.9600 years
0.9756 years
0.8844 years

39.
How can a negative duration gap of 0.21 years be interpreted?

A.
B.
C.
D.

The FI is exposed to decreasing interest rates because it has a negative duration gap of 0.21 years.
The FI is exposed to increasing interest rates because it has a negative duration gap of 0.21 years.
The FI is not exposed to interest rate changes since it is running a matched book.
The FI's exposure will depend on its maturity gap.

40.
Consider a consol bond with a required yield to maturity of 9%. What is the consol bond's duration (round to two decimals)?

A.
B.
C.
D.

Infinite as the bond has no maturity


0 years
9.33 years
12.11 years

41.
Assume that the required yield to maturity on a consol bond increases from 6% to 12%. What is the impact on the consol bond's duration?

A.
B.
C.
D.

As there are no intervening cash flows between issue and maturity, the duration will always equal the bond's maturity.
As interest rates rise, the duration of consol bonds falls.
As interest rates rise, the duration of consol bonds rises.
There will be no impact on the bond's duration.

42.
Consider an asset with a current market value of $250 000 and a duration of 3.3 years. Assume the asset is partially funded through zero-coupon
bonds which currently sells for $225 000 and has a maturity of 4 years. The current discount rate is 15%. Calculate the duration gap for this
scenario:

A.
0.3 years

B. 0.3 years
C.
0.7 years

D. 0.7 years

43.
Consider an asset with a current market value of $250 000 and a duration of 3.3 years. Assume the asset is partially funded through zero-coupon
bonds which currently sells for $225 000 and has a maturity of 4 years. The current discount rate is 15%. Which of the following statements is
true?

A.
B.
C.
D.

The FI is benefiting from increasing interest rates as it has a negative duration gap of 0.3 years.
The FI is exposed to increasing interest rates as it has a negative duration gap of 0.3 years.
The FI is exposed to increasing interest rates as it has a positive duration gap of 0.3 years.
The FI is exposed to decreasing interest rates as it has a positive duration gap of 0.3 years

44.
Consider an asset with a current market value of $250 000 and a duration of 3.3 years. Assume the asset is partially funded through zero-coupon
bonds which currently sells for $225 000 and has a maturity of 4 years. The current discount rate is 15% and interest rates are expected to increase
by 150 basis points. Which of the following statements is true?

A.
B.
C.
D.

The current net worth of the position is $25 000 and if interest rates increase the net worth will not be affected.
The current net worth of the position is $25 000 and if interest rates increase the net worth will increase, too.
The current net worth of the position is $25 000 and if interest rates increase the net worth will decrease.
The current net worth of the position cannot be determined; however, if interest rates increase the net worth will increase, too.

45.
In order to achieve a zero duration gap, an FI can:

A.
B.
C.
D.

change the duration of its assets only


change the duration of its liabilities only
change the duration of both, assets and liabilities
All of the listed options are correct.

46.
The bank has a negative maturity gap. Is the bank exposed to interest rate increases or decreases and why?

A.
B.
C.
D.

Interest rate increases because the value of its assets will rise more than its liabilities.
Interest rate increases because the value of its assets will fall more than its liabilities.
Interest rate decreases because the value of its assets will rise less than its liabilities.
Interest rate decreases because the value of its assets will fall more than its liabilities.

47.
Which of the following is indicated by high numerical value of the duration of an asset?

A.
B.
C.
D.

low sensitivity of an asset price to interest rate shocks


high interest inelasticity of a bond
high sensitivity of an asset price to interest rate shocks
lack of sensitivity of an asset price to interest rate shocks

48.
Which of the following statements about leverage adjusted duration gap is true?

A.
B.
C.
D.

It is equal to the duration of the assets minus the duration of the liabilities.
The larger the gap in absolute terms, the more exposed the FI is to interest rate shocks.
It reflects the degree of maturity mismatch in an FI's balance sheet.
It indicates the dollar size of the potential net worth and its value is equal to duration divided by (1+R).

49.
The larger the size of an FI, the larger the _________ from any given interest rate shock.

A.
B.
C.
D.

duration mismatch
immunisation effect
net worth exposure
net interest income

50.
When does 'duration' become a less accurate predictor of expected change in security prices?

A. As interest rate shocks increase in size.


B. As interest rate shocks decrease in size.
C. When maturity distributions of an FI's assets and liabilities are considered.
D. As inflation decreases.
51.
Calculating modified duration involves:

A.
B.
C.
D.

dividing the value of duration by the change in the market interest rate
dividing the value of duration by 1 plus the interest rate
dividing the value of duration by discounted change in interest rates
multiplying the value of duration by discounted change in interest rates

52.
An FI has a leverage-adjusted duration gap of 1.21 years, $60 million in assets, 7% equity to assets ratio, and market rates are 8%. What is the
impact on the dealer's market value of equity per $100 of assets if the relative change in all interest rates is an increase of 0.5% [i.e. R/(1+R) =
0.5%]?

A.
+$336 111

B.
$0.605

C.
$336 111

D.
+$0.605

53.
Which of the following statements is incorrect?

A. Investing in a zero-coupon asset with a maturity equal to the desired investment horizon is one method of immunising against
changes in interest rates.
B. Investing in a zero-coupon asset with a maturity equal to the desired investment horizon removes interest rate risk from the
investment management process.
C. Buying a fixed-rate asset whose duration is exactly equal to the desired investment horizon immunises against interest
D. Using a fixed-rate bond to immunise a desired investment horizon means that the reinvested coupon payments are not affected by
changes in market interest rates.
54.
Which of the following statements is incorrect?

A. Convexity is a desirable effect to a portfolio manager because it is easy to measure and price.
B.
All fixedincome assets exhibit convexity in their priceyield relationships.

C. The greater is convexity, the more insurance a portfolio manager has against interest rate increases and the greater potential gain
from rate decreases.
D.
The fact that the capital gain effect for rate decreases is greater than the capital loss effect for rate increases is caused by convexity in the yieldprice
relationship.

55.
For small change in interest rates, market prices of bonds move in an inversely proportional manner according to the size of the:

A.
B.
C.
D.

equity
asset value
liability value
duration value

56.
In simple words, duration measures the average life of an asset or liability.

True

False

57.
The duration of a zero-coupon bond is always smaller than its maturity.

True

False

58.
The maturity of a fixed-income security is always smaller than its duration.

True

False

59.
It is not possible to measure the duration of a perpetuity as a perpetuity has no maturity.

True

False

60.
Using the leverage adjusted duration gap, it is possible to measure the effect of changing interest rates on an FI's net worth.

True

False

61.
The leverage adjusted duration gap reflects the degree of duration mismatch in an FI's balance sheet.

True

False

62.
Duration measures changes in an FI's net worth inaccurately if interest rate changes are large.

True

False

63.
Immunisation requires constant portfolio rebalancing when interest rates move.

True

False

64.
Immunisation does not require constant portfolio rebalancing when interest rates move.

True

False

65.
Duration matching is a desirable interest rate risk management tool as it captures changes in interest rates over long periods of time.

True

False

66.
The FI's portfolio is immunised when the weighted-average duration of the bond portfolio exactly equals the FI's desired investment horizon.

True

False

67.
The FI's portfolio is immunised when the weighted-average duration of the bond portfolio exactly equals the weighted-average maturity of the
bond portfolio.

True

False

68.
The larger the numerical value of the duration of an asset or liability, the less sensitive the price of that asset or liability is to changes in the
interest rate.

True

False

69.
As interest rates increase (decrease) the value of an asset or a liability decreases (increases).

True

False

70.
The greater is convexity, the more insurance a portfolio manager has against interest rate increases and the greater potential gain from rate
decreases.

True

False

71.
One method of changing the positive leverage adjusted duration gap for the purpose of immunising the net worth of a typical depository
institution is to increase the duration of the assets and to decrease the duration of the liabilities.

True

False

72. Discuss the following proposition: While in theory duration matching allows an FI to immunise against interest rate risk, the
reality is that it is too costly and too time consuming to be useful.

73.
Proof the following three propositions using a simple numerical example for each of the cases.
a. The duration of an asset or liability with intervening cash flows between issue and maturity is smaller than its maturity.
b. The duration of an asset or liability without any intervening cash flows between issue and maturity equals its maturity.
c. Despite the fact that perpetuities such as consol bonds have no maturity, it is possible to calculate their duration.

74. Would you consider convexity of a fixed-income security to be desirable or undesirable for an FI? Explain your opinion.

Chapter 06 Testbank Key


1.
Duration is defined as:

A.
B.
C.
D.

the weighted-average time to maturity of a series of cash flows, using the relative present values of the cash flows as weights
the weighted-average present values of a series of cash flows using the timing of the cash flows as weights
the standard deviation of the time to maturity of a series of cash flows
an asset's or a liability's time to maturity

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: 13
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

2.
Duration is seen as a more complete measure of an asset or a liability's interest rate sensitivity than maturity because it takes into account the:

A.
B.
C.
D.

size of cash flows


timing of cash flows
size of cash flows and the asset or liability's time to maturity
time of arrival of all cash flows plus the asset or liability's maturity

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: 13
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

3.
The duration of an asset or a liability for which there are intervening cash flows between issue and maturity:

A.
B.
C.
D.

equals the asset or the liability's maturity


exceeds the asset or the liability's maturity
is smaller than the asset or the liability's maturity
Not enough information to answer this question

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

4.
The duration of a zero-coupon bond:

A.
B.
C.
D.

is smaller than its maturity


exceeds its maturity
equals its maturity
depends on the size and timing of intervening cash flows between issue and maturity

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

5.
The special feature of consol bonds is that:

A.
B.
C.
D.

their duration equals their maturity


their maturity is infinite, while their duration is finite
their maturity is finite, while their duration is infinite
both, their maturity and their duration, are infinite

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

6.
Suppose the yield of consol bond is 10%. Its duration is:

A.
B.
C.
D.

5 years
10 years
11 years
15 years

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

7.
Suppose the yield of five-year zero-coupon bond is 10%. Its duration is:

A.
B.
C.
D.

5 years
10 years
11 years
15 years

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

8.
Suppose the yield of five-year bond with 8% coupon is 10%. Its duration is:

A.
B.
C.
D.

less than 5 years


5 years
from 5 to 10 years
more than 10 years

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

9.
With increasing maturity of a fixed-income asset or liability the asset or liability's duration:

A.
B.
C.
D.

increases, but at a decreasing rate


decreases
increases at an increasing rate
increases at a constant rate

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 13
Learning Objective: 6.2 Identify the relationship of duration to maturity, yield and coupon interest rates

10.
The lower the coupon or interest payment on a security:

A.
B.
C.
D.

the lower its duration


coupon or interest payments have no impact on a security's duration
the higher its duration
None of the listed options are correct.

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.2 Identify the relationship of duration to maturity, yield and coupon interest rates

11.
Duration is a direct measure of the interest rate sensitivity of an asset or liability, which means that:

A.
B.
C.
D.

the smaller the duration, the more sensitive the price of that asset or liability
the larger the duration, the less sensitive the price of that asset or liability
the larger the duration, the more sensitive the price of that asset or liability
None of the listed options are correct.

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

12.
As interest rates increase the price of an asset or liability:

A.
B.
C.
D.

remains constant
decreases
increases
increases and it increases at a faster rate

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: <1
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

13.
As interest rates decrease the price of an asset or liability:

A.
B.
C.
D.

remains constant
decreases
increases
increases and it increases at a faster rate

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: <1
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

14.
The duration gap can be used to measure how changes in the interest rate affect an FI's:

A.
B.
C.
D.

net worth
maturity gap strategy
liquidity strategy
All of the listed options are correct.

AACSB: Analytic
Bloom's: Application
Difficulty: Easy
Est time: <1
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

15.
The leverage adjusted duration gap measures:

A.
B.
C.
D.

the change in an FI's net worth if interest rates change


the degree of duration mismatch in an FI's profit and loss statement
the degree of duration mismatch in an FI's balance sheet
All of the listed options are correct.

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: 13
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

16.
The larger an FI's absolute leverage adjusted duration gap:

A.
B.
C.
D.

the less exposed the FI is to interest rate shocks


the more exposed the FI is to interest rate shocks
the lower the FI's net worth
None of the listed options are correct.

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

17.
The effect of interest rate changes on the market value of an FI's net worth breaks down into three effects, these being the leverage adjusted
duration gap, the:

A.
B.
C.
D.

size of the FI and the reputation of the FI


size of the FI and the size of the interest rate shock
reputation of the FI and the size of the interest rate shock
size of the FI and the direction of the interest rate changes

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 13
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

18.
Which of the following statements most appropriately responds to the critique that duration matching is costly and time consuming?

A. The critique is valid; however, the speed has been eased and transaction costs of balance sheet restructuring have been lowered due
to growth of purchased funds, asset securitisation and loan sales markets.
B. The critique is valid and FIs should spend funds in order to develop more efficient interest rate risk management tools.
C. The critique is valid, particularly because it is not possible for managers to get the same results of direct duration matching by
taking positions in derivatives markets.
D. None of the listed options are correct.
AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.6 Understand some of the problems of applying the Macaulay Duration Model to real-world FIs

19.
The statement that a portfolio is immunised using duration matching:

A. means that the FI is entirely hedged against interest rate risks


B. is misleading as duration matching is a dynamic process and only hedges the FI against instantaneous interest rate changes
C. is misleading as duration matching is a dynamic process and only hedges the FI against interest rate changes that occur within a
month
D. None of the listed options are correct.
AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.6 Understand some of the problems of applying the Macaulay Duration Model to real-world FIs

20.
Immunising the balance sheet to protect equity holders from the effects of interest rate risk occurs when:

A. the maturity gap is zero


B. the repricing gap is zero
C. the duration gap is zero
D. the effect of a change in the level of interest rates on the value of the assets of the FI is exactly offset by the effect of the same
change in interest rates on the liabilities of the FI
AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.5 Appreciate how duration can be used to maintain a particular leverage ratio

21.
Using the duration gap to measure the change in an FI's net worth in case of large interest rate shocks:

A.
B.
C.
D.

produces exact results


only produces exact results if interest rates change instantaneously
produces approximate results only due to concavity
produces approximate results only due to convexity

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 13
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

22.
Duration is a less accurate predictor for the change in an FI's net worth in case of large interest rate shocks because it assumes a:

A. linear relationship between the change in an asset or liability's price and the change in the interest rate, while the true relationship
is convex
B. linear relationship between the change in an asset or liability's price and the change in the interest rate, while the true relationship
is concave
C. convex relationship between the change in an asset or liability's price and the change in the interest rate, while the true relationship
is linear
D. concave relationship between the change in an asset or liability's price and the change in the interest rate, while the true
relationship is linear
AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 13
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

23.
Convexity is defined as:

A.
the degree of curvature of the priceyield curve around some maturity level

B.
the degree of curvature of the priceyield curve around some price level

C.
the degree of curvature of the priceyield curve around some interest rate level

D. None of the listed options are correct.


AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: 13
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

24.
The modified duration is defined as:

A.
B.
C.
D.

duration multiplied by (1 + R)
duration divided by (1 + R)
duration minus (1 + R)
duration plus (1 + R)

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: <1
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

25.
If yield is greater than 0 then the modified duration is the Macaulay duration:

A.
B.
C.
D.

greater than
equal to
smaller than
None of the listed options are correct.

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: <1
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

26.
Which of the following statements is true?

A. Convexity is desirable because the larger the convexity the greater the interest rate protection against interest rate decreases and
the greater the potential gains following increasing interest rates.
B. Convexity is desirable because the larger the convexity the greater the interest rate protection against interest rate rises and the
greater the potential gains following decreasing interest rates.
C. Convexity is undesirable because the larger the convexity the lower the interest rate protection against interest rate rises and the
smaller the potential gains following decreasing interest rates.
D. Convexity is undesirable because the larger the convexity the lower the interest rate protection against interest rate decreases and
the smaller the potential gains following increasing interest rates.
AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 13
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

27.
Which of the following statements is true?

A. All assets and liabilities are convex.


B. All fixed-income securities, including those with special option features, are convex.
C. All assets are convex, all liabilities are convex and all fixed-income securities, including those with special option features, are
convex.
D. None of the listed options are correct.
AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

28.
For large interest rate shocks and large convexity of a fixed-income security or portfolio:

A.
B.
C.
D.

the error will not change compared to smaller interest rate shocks and lower convexity
the error will be smaller compared to smaller interest rate shocks and lower convexity
the error will be greater compared to smaller interest rate shocks and lower convexity
there will be no error as duration measures changes accurately

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

29.
Immunisation of a portfolio implies that changes in _______ will not affect the value of the portfolio.

A.
B.
C.
D.

book value of assets


maturity
interest rates
duration

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: <1
Learning Objective: 6.5 Appreciate how duration can be used to maintain a particular leverage ratio

30.
Consider a security with a face value of $100 000, which is to be repaid at maturity. The security pays an annual coupon of 8% and has a maturity
of three years. The current discount rate is 10%. What is the security's current price (round to two decimals)?

A.
B.
C.
D.

$124 000
$95 026.30
$19 894.82
$100 000

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

31.
Consider a security with a face value of $100 000, which is to be repaid at maturity. The security pays an annual coupon of 8% and has a maturity
of three years. The current discount rate is 10%. What is the security's duration (round to two decimals)?

A.
B.
C.
D.

2.78 years
3 years
0.36 years
1.94 years

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 35
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

32.
Consider a security with a duration of 2.78 years. The current interest rate level is 10% per annum. How does the price of the security change if
interest rates decrease by 100 basis points (round to two decimals)?

A.
B.
C.
D.

The price of the security will decrease by 1%.


The price of the security will increase by 1%.
The price of the security will decrease by 2.50%.
The price of the security will increase by 2.50%.

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

33.
Which of the following statements is true?

A.
B.
C.
D.

The optimal duration gap is zero.


Duration gap measures the impact of unanticipated changes in interest rates on the market value of equity.
The shorter the maturity of the FI's securities, the greater the FI's interest rate risk exposure.
The duration of all floating rate debt instruments is equal to the time to maturity.

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 13
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

34.
An FI purchases at par value a $100 000 Treasury Bond paying 10% interest with a 7.5 year duration. If interest rates rise by 4%, calculate the
bond's new value. Recall that Treasury Bonds pay interest semi-annually. Use the duration valuation equation.

A. +$28 571.43
B.
$20 864.46

C. +$20 864.46
D.
$28 571.43

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 13
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

35.
What is the duration of a five-year par value zero-coupon bond yielding 10% annually?

A.
B.
C.
D.

0.50 years
2 years
4.40 years
5 years

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

36.
Consider a security with a face value of $100 000 to be repaid at maturity. The maturity of the security is three years. The coupon rate is 9% per
annum and coupon payments are made semi-annually. The current discount rate is 12% per annum. What is the security's price (round your
answer to two decimals)?

A.
B.
C.
D.

$127 000.00
$100 000.00
$76 046.08
$92 624.01

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 35
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

37.
Consider a security with a face value of $100 000 to be repaid at maturity. The maturity of the security is three years. The coupon rate is 9% per
annum and coupon payments are made semi-annually. The current discount rate is 12% per annum. What is the security's duration (round your
answer to two decimals)?

A.
B.
C.
D.

2.68 years
2.68 half-years
3 years
0.38 years

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 35
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

38.
An FI has financial assets of $800 and equity of $50. If the duration of assets is 1.21 years and the duration of all liabilities is 0.25 years, what is
the leverage-adjusted duration gap?

A.
B.
C.
D.

0.9000 years
0.9600 years
0.9756 years
0.8844 years

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 35
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

39.
How can a negative duration gap of 0.21 years be interpreted?

A.
B.
C.
D.

The FI is exposed to decreasing interest rates because it has a negative duration gap of 0.21 years.
The FI is exposed to increasing interest rates because it has a negative duration gap of 0.21 years.
The FI is not exposed to interest rate changes since it is running a matched book.
The FI's exposure will depend on its maturity gap.

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

40.
Consider a consol bond with a required yield to maturity of 9%. What is the consol bond's duration (round to two decimals)?

A.
B.
C.
D.

Infinite as the bond has no maturity


0 years
9.33 years
12.11 years

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

41.
Assume that the required yield to maturity on a consol bond increases from 6% to 12%. What is the impact on the consol bond's duration?

A.
B.
C.
D.

As there are no intervening cash flows between issue and maturity, the duration will always equal the bond's maturity.
As interest rates rise, the duration of consol bonds falls.
As interest rates rise, the duration of consol bonds rises.
There will be no impact on the bond's duration.

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

42.
Consider an asset with a current market value of $250 000 and a duration of 3.3 years. Assume the asset is partially funded through zero-coupon
bonds which currently sells for $225 000 and has a maturity of 4 years. The current discount rate is 15%. Calculate the duration gap for this
scenario:

A.
0.3 years

B. 0.3 years
C.
0.7 years

D. 0.7 years
AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 35
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

43.
Consider an asset with a current market value of $250 000 and a duration of 3.3 years. Assume the asset is partially funded through zero-coupon
bonds which currently sells for $225 000 and has a maturity of 4 years. The current discount rate is 15%. Which of the following statements is
true?

A.
B.
C.
D.

The FI is benefiting from increasing interest rates as it has a negative duration gap of 0.3 years.
The FI is exposed to increasing interest rates as it has a negative duration gap of 0.3 years.
The FI is exposed to increasing interest rates as it has a positive duration gap of 0.3 years.
The FI is exposed to decreasing interest rates as it has a positive duration gap of 0.3 years

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 13
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

44.
Consider an asset with a current market value of $250 000 and a duration of 3.3 years. Assume the asset is partially funded through zero-coupon
bonds which currently sells for $225 000 and has a maturity of 4 years. The current discount rate is 15% and interest rates are expected to increase
by 150 basis points. Which of the following statements is true?

A.
B.
C.
D.

The current net worth of the position is $25 000 and if interest rates increase the net worth will not be affected.
The current net worth of the position is $25 000 and if interest rates increase the net worth will increase, too.
The current net worth of the position is $25 000 and if interest rates increase the net worth will decrease.
The current net worth of the position cannot be determined; however, if interest rates increase the net worth will increase, too.

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

45.
In order to achieve a zero duration gap, an FI can:

A.
B.
C.
D.

change the duration of its assets only


change the duration of its liabilities only
change the duration of both, assets and liabilities
All of the listed options are correct.

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

46.
The bank has a negative maturity gap. Is the bank exposed to interest rate increases or decreases and why?

A.
B.
C.
D.

Interest rate increases because the value of its assets will rise more than its liabilities.
Interest rate increases because the value of its assets will fall more than its liabilities.
Interest rate decreases because the value of its assets will rise less than its liabilities.
Interest rate decreases because the value of its assets will fall more than its liabilities.

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

47.
Which of the following is indicated by high numerical value of the duration of an asset?

A.
B.
C.
D.

low sensitivity of an asset price to interest rate shocks


high interest inelasticity of a bond
high sensitivity of an asset price to interest rate shocks
lack of sensitivity of an asset price to interest rate shocks

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

48.
Which of the following statements about leverage adjusted duration gap is true?

A.
B.
C.
D.

It is equal to the duration of the assets minus the duration of the liabilities.
The larger the gap in absolute terms, the more exposed the FI is to interest rate shocks.
It reflects the degree of maturity mismatch in an FI's balance sheet.
It indicates the dollar size of the potential net worth and its value is equal to duration divided by (1+R).

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

49.
The larger the size of an FI, the larger the _________ from any given interest rate shock.

A.
B.
C.
D.

duration mismatch
immunisation effect
net worth exposure
net interest income

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

50.
When does 'duration' become a less accurate predictor of expected change in security prices?

A. As interest rate shocks increase in size.


B. As interest rate shocks decrease in size.
C. When maturity distributions of an FI's assets and liabilities are considered.
D. As inflation decreases.
AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

51.
Calculating modified duration involves:

A.
B.
C.
D.

dividing the value of duration by the change in the market interest rate
dividing the value of duration by 1 plus the interest rate
dividing the value of duration by discounted change in interest rates
multiplying the value of duration by discounted change in interest rates

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

52.
An FI has a leverage-adjusted duration gap of 1.21 years, $60 million in assets, 7% equity to assets ratio, and market rates are 8%. What is the
impact on the dealer's market value of equity per $100 of assets if the relative change in all interest rates is an increase of 0.5% [i.e. R/(1+R) =
0.5%]?

A.
+$336 111

B.
$0.605

C.
$336 111

D.
+$0.605

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 35
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

53.
Which of the following statements is incorrect?

A. Investing in a zero-coupon asset with a maturity equal to the desired investment horizon is one method of immunising against
changes in interest rates.
B. Investing in a zero-coupon asset with a maturity equal to the desired investment horizon removes interest rate risk from the
investment management process.
C. Buying a fixed-rate asset whose duration is exactly equal to the desired investment horizon immunises against interest
D. Using a fixed-rate bond to immunise a desired investment horizon means that the reinvested coupon payments are not affected by
changes in market interest rates.
AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 13
Learning Objective: 6.6 Understand some of the problems of applying the Macaulay Duration Model to real-world FIs

54.
Which of the following statements is incorrect?

A. Convexity is a desirable effect to a portfolio manager because it is easy to measure and price.
B.
All fixedincome assets exhibit convexity in their priceyield relationships.

C. The greater is convexity, the more insurance a portfolio manager has against interest rate increases and the greater potential gain
from rate decreases.
D.
The fact that the capital gain effect for rate decreases is greater than the capital loss effect for rate increases is caused by convexity in the yieldprice
relationship.

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 13
Learning Objective: 6.6 Understand some of the problems of applying the Macaulay Duration Model to real-world FIs
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

55.
For small change in interest rates, market prices of bonds move in an inversely proportional manner according to the size of the:

A.
B.
C.
D.

equity
asset value
liability value
duration value

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: 13
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

56.
In simple words, duration measures the average life of an asset or liability.

TRUE

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: <1
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

57.
The duration of a zero-coupon bond is always smaller than its maturity.

FALSE

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: <1
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

58.
The maturity of a fixed-income security is always smaller than its duration.

FALSE

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: <1
Learning Objective: 6.2 Identify the relationship of duration to maturity, yield and coupon interest rates

59.
It is not possible to measure the duration of a perpetuity as a perpetuity has no maturity.

FALSE

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: <1
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

60.
Using the leverage adjusted duration gap, it is possible to measure the effect of changing interest rates on an FI's net worth.

TRUE

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: <1
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

61.
The leverage adjusted duration gap reflects the degree of duration mismatch in an FI's balance sheet.

TRUE

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: <1
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

62.
Duration measures changes in an FI's net worth inaccurately if interest rate changes are large.

TRUE

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: <1
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

63.
Immunisation requires constant portfolio rebalancing when interest rates move.

TRUE

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: <1
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

64.
Immunisation does not require constant portfolio rebalancing when interest rates move.

FALSE

AACSB: Analytic
Bloom's: Knowledge
Difficulty: Medium
Est time: <1
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

65.
Duration matching is a desirable interest rate risk management tool as it captures changes in interest rates over long periods of time.

FALSE

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: <1
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

66.
The FI's portfolio is immunised when the weighted-average duration of the bond portfolio exactly equals the FI's desired investment horizon.

TRUE

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: <1
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

67.
The FI's portfolio is immunised when the weighted-average duration of the bond portfolio exactly equals the weighted-average maturity of the
bond portfolio.

FALSE

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: <1
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

68.
The larger the numerical value of the duration of an asset or liability, the less sensitive the price of that asset or liability is to changes in the
interest rate.

FALSE

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: <1
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

69.
As interest rates increase (decrease) the value of an asset or a liability decreases (increases).

TRUE

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: <1
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration

70.
The greater is convexity, the more insurance a portfolio manager has against interest rate increases and the greater potential gain from rate
decreases.

TRUE

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: <1
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

71.
One method of changing the positive leverage adjusted duration gap for the purpose of immunising the net worth of a typical depository
institution is to increase the duration of the assets and to decrease the duration of the liabilities.

FALSE

AACSB: Analytic
Bloom's: Application
Difficulty: Medium
Est time: <1
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's interest rate risk exposure

72. Discuss the following proposition: While in theory duration matching allows an FI to immunise against interest rate risk, the
reality is that it is too costly and too time consuming to be useful.
Critics charge that although in theory duration matching allows an FI to better immunise the FI against interest rate risk, restructuring
the balance sheet of a large, complex FI can be both time consuming and costly. While this argument may have been true historically,
the growth of purchased funds, asset securitisation and loan sales markets has considerably eased the speed and lowered the
transaction costs of major balance sheet restructurings. Moreover, an FI manager could still manage risk exposure using the duration
model by employing techniques other than direct portfolio rebalancing to immunise against interest rate risk. Managers can get many
of the same results of direct duration matching by taking positions in the markets for derivative securities, such as futures and
forwards, options, caps, floors and collars, and swaps.

AACSB: Reflective thinking


Bloom's: Analysis
Difficulty: Hard
Est time: 510
Learning Objective: 6.6 Understand some of the problems of applying the Macaulay Duration Model to real-world FIs

73.
Proof the following three propositions using a simple numerical example for each of the cases.
a. The duration of an asset or liability with intervening cash flows between issue and maturity is smaller than its maturity.
b. The duration of an asset or liability without any intervening cash flows between issue and maturity equals its maturity.
c. Despite the fact that perpetuities such as consol bonds have no maturity, it is possible to calculate their duration.

a. Two-year coupon bond: Par value = $1000


R = 14%

Coupon rate = 10% annual payments


Maturity = 2 years

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f

ation = $1780.55/$934.13 = 1.9061


b. Zero-coupon bond: Par value = $1000 Coupon rate = 0%
R = 8%
Maturity = 2 years
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Duration = $1714.68/$857.34 = 2
c. A consol is a bond that pays a fixed coupon each year forever. A consol trading at a yield to maturity of 10% has a duration of:
D = 1 + (1/R) =1+ (1/0.10) = 11 years

AACSB: Analytic
Bloom's: Application
Difficulty: Hard
Est time: 510
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest rate sensitivity than maturity

74. Would you consider convexity of a fixed-income security to be desirable or undesirable for an FI? Explain your opinion.

Duration is not an appropriate tool for immunising portfolios when the expected interest rate changes are large because of the existence of convexity.
Convexity exists because the relationship between security price changes and interest rate changes is not linear, which is assumed in the estimation of
duration. Using convexity to immunise a portfolio will reduce the problem.
Convexity is a desirable feature for an FI manager to capture in a portfolio of assets. Buying a bond or a portfolio of assets exhibiting a lot of
convexity or bent-ness in the priceyield curve relationship is similar to buying partial interest rate risk insurance. The more convex is a given asset,
the more insurance against interest rate changes is purchased.

AACSB: Communication
Bloom's: Analysis
Difficulty: Hard
Est time: 35
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk

Chapter 06 Testbank Summary


Category

# of Questio
ns
AACSB: Analytic
72
AACSB: Communication
1
AACSB: Reflective thinking
1
Bloom's: Analysis
2
Bloom's: Application
58
Bloom's: Knowledge
14
Difficulty: Easy
1
Difficulty: Hard
17
Difficulty: Medium
56
Est time: 13
43
Est time: 35
7
Est time: 510
2
Est time: <1
22
Learning Objective: 6.1 Learn to calculate duration and appreciate that it is a more complete measure of an asset or liability's interest
14
rate sensitivity than maturity
Learning Objective: 6.2 Identify the relationship of duration to maturity, yield and coupon interest rates
3
Learning Objective: 6.3 Gain an understanding of the economic meaning of duration
14
Learning Objective: 6.4 Learn about the Macaulay Duration Model and how this and the duration gap are used to measure an FI's inte
23
rest rate risk exposure
Learning Objective: 6.5 Appreciate how duration can be used to maintain a particular leverage ratio
2
Learning Objective: 6.6 Understand some of the problems of applying the Macaulay Duration Model to real-world FIs
5
Learning Objective: 6.7 Learn about convexity and its use as a superior measure of interest rate risk
15

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