medium · FRM Part 1 Valuation and Risk Models
An institutional desk owns a bond with a total DV01 of $45,000. They wish to neutralize this exposure using a 10-year Treasury Note future. The future is quoted at $112.50 (per $100 par), and the CTD bond has a modified duration of 6.80.
How many futures contracts must be sold to achieve DV01 neutrality?
- 533
- 400
- 662
- 588
Sign up free to see the explanation and track your rank →
More FRM Part 1 Valuation and Risk Models practice
- What is the Expected Loss (EL)?
- If a loan has a Probability of Default (PD) of 2.0%, an Exposure at Default (EAD) of $1,00
- If market yields rise by 150 basis points (0.015), what is the estimated new price of the
- A stock trades at S_0 = $100. A European call struck at K = $100 expires in 1 year. If the
- If the manager scales the VaR to a 10-day horizon using the square-root-of-time rule, what
- An investor holds a $10 million portfolio of two assets. Asset A has a weight of 60% and a
- Using a simple 'credit-triangle' approximation, what is the fair annual CDS spread in basi
- If the exposure at default (EAD) is $1 million, what is the unexpected loss (UL) assuming