金融市场与金融机构基础FabozziChapter11.doc

Foundations of Financial Markets and Institutions, 4e (Fabozzi/Modigliani/Jones) Chapter 11 The Term Structure of Interest Rates Multiple Choice Questions 1 The Yield Curve and the Term Structure 1) Market participants have tended to construct yield curves from observations of prices and yields in the Treasury market. Two reasons account for this tendency. Which of the below is ONE of these reasons? A) The smallest and most inactive bond market, the Treasury market offers the fewest problems of illiquidity or frequent trading B) Treasury securities have a small amounts of default risk, and differences in creditworthiness do affect yield estimates. C) The largest and most active bond market, the Treasury market offers the fewest problems of illiquidity or infrequent trading. D) Treasury securities are full of default risk, and differences in creditworthiness do not affect yield estimates. Answer: C Comment: Market participants have tended to construct yield curves from observations of prices and yields in the Treasury market. Two reasons account for this tendency. First, Treasury securities are free of default risk, and differences in creditworthiness do not affect yield estimates. Second, as the largest and most active bond market, the Treasury market offers the fewest problems of illiquidity or infrequent trading. Diff: 2 Topic: 11.1 The Yield Curve and the Term Structure Objective: 11.4 how a theoretical spot rate curve can be determined from the Treasury yield curve 2) More recently market participants have come to realize that the traditionally constructed Treasury yield curve is ________ measure of the relation between required yield and maturity with the key reason is that securities with the same maturity may actually provide ________. A) an unsatisfactory; different yields B) an unsatisfactory; very similar yields C) a satisfactory; different yields D) a satisfactory; very similar yields Answer: A Comment: More recently market participants have come