Questions and Answers of The Theory And Practice Of Investment

What is the idiosyncratic risk of each security?Consider a portfolio of two equally weighted credit bonds from two different issuers in the same sector. Assume that interest rate risk is modeled by a
Which bond is riskier?Consider a portfolio of two equally weighted credit bonds from two different issuers in the same sector. Assume that interest rate risk is modeled by a single variable ΔR, the
What is the isolated risk for the portfolio coming from interest rates and sector credit spreads?Consider a portfolio of two equally weighted credit bonds from two different issuers in the same
What are the isolated systematic risk, isolated idiosyncratic risk and the total risk of the portfolio?Consider a portfolio of two equally weighted credit bonds from two different issuers in the same
What are the contributions to total risk of(a) Interest rates,(b) Sector credit spreads,(c) Idiosyncratic risk?Consider a portfolio of two equally weighted credit bonds from two different issuers
What is the correlation between the two bonds’ returns?Consider a portfolio of two equally weighted credit bonds from two different issuers in the same sector. Assume that interest rate risk is
What is the contribution of each bond to total portfolio risk?Consider a portfolio of two equally weighted credit bonds from two different issuers in the same sector. Assume that interest rate risk
Explain whether you agree or disagree with the following statement:One difference between a futures and forward contract is that futures contracts are marked to market and forward contracts are not.
If the target duration for a portfolio is greater than the current portfolio duration, how can the portfolio manager use:a. Treasury bond futures contracts to alter the portfolio’s duration so as
With respect to Treasury bond futures contract:a. What is the role of the conversion factors?b. What is the significance of the cheapest-to-deliver issue for a Treasury bond futures
In determining the theoretical price of a Treasury bond futures contracts, explain why it is necessary to modify the standard cost of carry model.
When the buyer of a call option on a futures contract exercises, explain the resulting position for the buyer and the writer.
How can a single-name credit default swap be used by a portfolio manager who wants to short a reference entity?
How can a single-name credit default swap be used by a portfolio manager who is having difficulty acquiring the bonds of a particular corporation in the cash market?
How do the mechanics of a single-name credit default swap differ from that of a credit default swap index?
How does the LCDX index differ from CDX.HY?
How can a portfolio manager use a credit default swap index where the underlying are investment-grade corporate bonds to alter exposure to the corporate bond market?

Showing 200 - 300 of 217

1
2
3