Interest rate Scenario SIIHA Quizz

A detailed illustration of financial graphs showing yield curves, bond prices, and interest rate fluctuations, with a modern and professional design.

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

14 Questions4 MinutesCreated by AnalyzingData123

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

BPS

Abbrev. for Basis Points

100 bps = 100%

Represents a percentage

Is a unit to assess yield changes

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

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

Interest rate Scenario SIIHA Quizz

Interest Rate Scenario Quiz

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