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"Fixed Income":Understanding Fixed-Income Risk and Return
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Questions 1:
A credit analyst is least likely to use matrix pricing to estimate the required yield and price of a(n):
A 、newly underwritten bond.
B、 actively traded speculative grade bond.
C 、inactively traded investment grade bond.
Questions 2:
An analyst uses a valuation model to estimate the value of an option-free bond at 92.733 to yield 11%. If the value is 94.474 for a 60 bp decrease in yield and 91.041 for a 60 bp increase in yield, the approximate modified duration of the bond is closest to:
A、 3.09.
B 、6.17.
C 、1.85.
View answer resolution
【Answer to question 1】B
【analysis】
B is correct. Matrix pricing is most suited to pricing inactively traded bonds and newly underwritten bonds.
A credit analyst is least likely to use matrix pricing to price an actively traded bond. A is incorrect because matrix pricing is most suited to pricing newly underwritten bonds.
C is incorrect because matrix pricing is most suited to pricing inactively traded bonds.
【Answer to question 2】A
【analysis】
B is incorrect because it ignores the 2 in the denominator.
C is incorrect because it uses ΔYield = 0.01 (1%).
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