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Free ICBRR Exam Braindumps (page: 31)

Page 31 of 87
PDF with 342 Questions

A large multinational bank is concerned that their duration measures may not be accurate since the yield curve shifts are not parallel.
Which of the following statements would be typically observed regarding variability of interest rates?

  1. Short-term rates are more variable than long-term rates.
  2. Short-term rates are less variable than long-term rates.
  3. Short-term rates are equally variable as long-term rates.
  4. Short-term rates and long-term rates always move in opposite directions.

Answer(s): A



Sam has hedged a portfolio of bonds against a small parallel shift in the yield curve using the duration measure.
What should Sam do to ensure that the portfolio is hedged against larger parallel shifts in the yield curve?

  1. Take positions to reduce the duration
  2. Take positions to increase the duration
  3. Take positions to make the convexity zero
  4. Since the portfolio is duration hedged Sam does not need to take additional positions.

Answer(s): C



Which one of the following four statements regarding floating rate bonds is incorrect?

  1. Floating rate bonds have coupon payments tied to floating interest rates or floating interest rate indexes.
  2. Floating rate bonds typically have less price risk than fixed rate bonds.
  3. Floating rate bonds are very sensitive to changes in interest rates.
  4. Floating rate bonds only have a small degree of interest rate risk.

Answer(s): C



On January 1, 2010 the TED (treasury-euro dollar) spread was 0.9%, and on January 31, 2010 the TED spread is 0.4%. As a risk manager, how would you interpret this change?

  1. The decrease in the TED spread indicates a decrease in credit risk on interbank loans.
  2. The decrease in the TED spread indicates an increase in credit risk on interbank loans.
  3. Increase in interest rates on both interbank loans and T-bills.
  4. Increase in credit risk on T-bills.

Answer(s): A



Page 31 of 87



Post your Comments and Discuss GARP ICBRR exam with other Community members:

Vey commented on May 27, 2023
highly appreciate for your sharing.
CAMBODIA
upvote

Vey commented on May 27, 2023
Highly appreciate for your sharing.
CAMBODIA
upvote