Financial Risk Manager Part 1
Get started today
Ultimate access to all questions.
Comments
Loading comments...
Ultimate access to all questions.
A fixed-income consultant is preparing a presentation advising corporate clients on the use of key rate 01's and forward-bucket 01's to monitor and hedge their interest rate exposures. Which of the following statements would be correct to include in the presentation?
A
The sum of all key rate '01s is equal to the change in price from shifting the yield to maturity by 1 basis point.
B
The key rate shift of the 10-year par rate leads to higher spot rates for all maturities.
C
The sum of all forward bucket '01 shifts is equal to shifting the entire forward curve by 1 basis point.
D
By choosing the key rates for the US Treasury as 2-, 5-, 10-, and 30-year par yields, a 15-year on-the-run US Treasury bond has no exposure to the 30-year key rate shift.