Interest rate Scenario SIIHA Quizz
Interest Rate Scenario Quiz
Test your knowledge on interest rate scenarios with this engaging quiz. Challenge yourself with questions on yield curves, bond pricing, and key rate durations!
Topics covered:
- Types of Interest Rate Scenarios
- Bond Prices and Yield Relationships
- Understanding Key Rate Duration
- Convexity and Interpolation Techniques
What are the type of IR Scenario implemented so far?
3 types: Parallel Shift of YC/ Interpolated Shift of YC/ amended YC
3 types: Parallel Shift of YC/ Shift of YC defined by Key durations/ amended YC
3 types: Parallel Shift of YC/ Interpolated Shift of YC/ NewYC
4 types: 3 types: Parallel Shift of YC/ Shift of YC defined by Key durations/ amended YC/ Shift for gov. bonds
If a bond's yield rises, then
Duration and bond prices increase
Maturity and bond prices increase
Duration increases and bond prices decrease
Maturity increase and bond prices decrease
Why investors are looking at the YC?
YC gives an idea of future IR changes
YC is useful to predict pricing of bonds
YC is useful to predict maturity of bonds
YC gives an idea of future economic changes
Convexity
Is a measure of the curvature in the relationship between bond prices and bond yields
Is a tool, to measure and manage the portfolio's exposure
Is a tool, to measure and manage KRD
Demonstrates how the duration of a bond changes as the interest rate changes
Interpolation
Is a tool, to measure and manage geographic coordinates
Is used to model the change in the YC
Is used to model the YC
Is an approximation method to the shift of a spot curve
SM base value is the exact revaluation method if the shift is contained in the pre-defined set of shift: +/-10 bps, +/-25 bps, +/-100 bps, +/-200 bps, +/-300 bps
Yes
No
How many Key Rates is used in SF scenario modeler?
7 types: 1Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y
8 types: 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y
9 types: 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y, 50Y
10 types: 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y, 50Y, 100Y
The controls
Are based on a 100 bps shift of YC
Are used to detect significant deviation and to exclude them from the revaluation
Are used to ensure the overall materiality and appropriateness of the KRD revaluation for a given security
Use the value/percentage calculated by the KRD methodology as boundary criteria
The KRD window in the advanced parameters
Is used to see the landscape
Corresponds to a time window to set the duration of a bond
Is used in the correction of the spread shocks
Is used for the IR shocks correction
The shift for for European Gov. Bonds can be applied in all types of IR scenarios
Yes
No
The revaluation of the YC is performed in all types of IR scenarios
Yes
No
Can the user defines any shift of the YC
Yes
No
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