PROF. DR. ERIK THEISSEN
FINANCE AREA
Exam Bond Markets
Course FIN601, FSS 2020
19.05.2020 (1)
Last name:
First name:
Student ID:
1. Enter your last name, first name and student ID above.
2. If you have any technical questions or issuers at any point throughout the exam, please
immediately either use the ZOOM link provided below or call the phone number provided
below to get directly connected to us.
3. Both the ZOOM link and the telephone hotline are only intended for technical problems. In
order to avoid congestion of the channels, please note that we will not answer any questions
regarding the contents of the exam.
4. After you are done with the exam and before the submission deadline (15:20), save the
exam in pdf format as FIN601_{Your Student ID}.pdf (one document only) and submit it
via the “Exam FIN 601” ILIAS group.
a. In case of any problems immediately use the ZOOM session or phone number to
inform us.
b. If we receive no information from you on technical difficulties that you are facing
within the time frame of the exam, your exam will be graded.
c. Only(!) in case your submission via ILIAS fails, send an email with your solution
file to within the deadline.
5. Please note that the examination time is 60 minutes. The additional 20 minutes ensure that
there is sufficient time for the download of the exam and the upload of your solution. Please
note that the submission deadline 15:20 is a super-strict deadline.
6. You can only upload one document. When you want to upload a new file you will first have
to delete the old file.
7. Please do not change font sizes and the formatting of this exam booklet
● ZOOM link: https://uni-mannheim.zoom.us/j/3581360857
● Phone number: +49 (0) 621 181-1525
● Email:
, PROF. DR. ERIK THEISSEN
FINANCE AREA
Please answer all of the following five questions. The maximum number of points is 37. The
maximum number of points for each question is shown in parentheses.
Please explain your answers. If not indicated otherwise, numbers should be rounded to four
digits after the decimal point.
Question 1 (10 points)
Below you find ten statements. Please indicate clearly and unanimously whether the
statements are true or false by putting an "X" in the appropriate place, i.e. "True: X" or
"False: X".
Please explain your answer briefly (one or two sentences). Without a valid explanation, no
points will be awarded.
1. The convexity of a zero bond is always higher than its duration.
True: False:
2. Everything else equal, the larger the number of warrants a firm issues, the lower will be
the value of one warrant.
True: False:
3. The power curve of a perfectly informative rating system is the 45-degree line.
True: False:
4. There are two bonds, one coupon bond and one zero bond. They have the same time to
maturity, they are both default-free, and they are both fairly priced. The coupon bond
will always have the lower yield to maturity.
True: False:
, PROF. DR. ERIK THEISSEN
FINANCE AREA
5. The "slope factor" of the term structure is the compensation that investors require for
taking on default risk.
True: False:
6. Assume a standard coupon bond with more than one year to maturity. The
immunization risk measure of Fong and Vasicek (1984) is always different from zero
for this coupon bond.
True: False:
7. Consider underwritten issues on the primary market for bonds. In a "best effort" issue
the underwriter (i.e. the bank or consortium of banks that sells the bond to investors)
contractually guarantees that the issue will be fully placed.
True: False:
8. Consider two bonds. Both are coupon bonds with a 3% coupon and both mature on July
4, 2021. Bond A pays interest annually on July 4. Bond B pays interest semi-annually
on January 4 and July 4. When you buy both bonds today (May 19, 2020) the dirty price
of bond A will be higher.
True: False:
FINANCE AREA
Exam Bond Markets
Course FIN601, FSS 2020
19.05.2020 (1)
Last name:
First name:
Student ID:
1. Enter your last name, first name and student ID above.
2. If you have any technical questions or issuers at any point throughout the exam, please
immediately either use the ZOOM link provided below or call the phone number provided
below to get directly connected to us.
3. Both the ZOOM link and the telephone hotline are only intended for technical problems. In
order to avoid congestion of the channels, please note that we will not answer any questions
regarding the contents of the exam.
4. After you are done with the exam and before the submission deadline (15:20), save the
exam in pdf format as FIN601_{Your Student ID}.pdf (one document only) and submit it
via the “Exam FIN 601” ILIAS group.
a. In case of any problems immediately use the ZOOM session or phone number to
inform us.
b. If we receive no information from you on technical difficulties that you are facing
within the time frame of the exam, your exam will be graded.
c. Only(!) in case your submission via ILIAS fails, send an email with your solution
file to within the deadline.
5. Please note that the examination time is 60 minutes. The additional 20 minutes ensure that
there is sufficient time for the download of the exam and the upload of your solution. Please
note that the submission deadline 15:20 is a super-strict deadline.
6. You can only upload one document. When you want to upload a new file you will first have
to delete the old file.
7. Please do not change font sizes and the formatting of this exam booklet
● ZOOM link: https://uni-mannheim.zoom.us/j/3581360857
● Phone number: +49 (0) 621 181-1525
● Email:
, PROF. DR. ERIK THEISSEN
FINANCE AREA
Please answer all of the following five questions. The maximum number of points is 37. The
maximum number of points for each question is shown in parentheses.
Please explain your answers. If not indicated otherwise, numbers should be rounded to four
digits after the decimal point.
Question 1 (10 points)
Below you find ten statements. Please indicate clearly and unanimously whether the
statements are true or false by putting an "X" in the appropriate place, i.e. "True: X" or
"False: X".
Please explain your answer briefly (one or two sentences). Without a valid explanation, no
points will be awarded.
1. The convexity of a zero bond is always higher than its duration.
True: False:
2. Everything else equal, the larger the number of warrants a firm issues, the lower will be
the value of one warrant.
True: False:
3. The power curve of a perfectly informative rating system is the 45-degree line.
True: False:
4. There are two bonds, one coupon bond and one zero bond. They have the same time to
maturity, they are both default-free, and they are both fairly priced. The coupon bond
will always have the lower yield to maturity.
True: False:
, PROF. DR. ERIK THEISSEN
FINANCE AREA
5. The "slope factor" of the term structure is the compensation that investors require for
taking on default risk.
True: False:
6. Assume a standard coupon bond with more than one year to maturity. The
immunization risk measure of Fong and Vasicek (1984) is always different from zero
for this coupon bond.
True: False:
7. Consider underwritten issues on the primary market for bonds. In a "best effort" issue
the underwriter (i.e. the bank or consortium of banks that sells the bond to investors)
contractually guarantees that the issue will be fully placed.
True: False:
8. Consider two bonds. Both are coupon bonds with a 3% coupon and both mature on July
4, 2021. Bond A pays interest annually on July 4. Bond B pays interest semi-annually
on January 4 and July 4. When you buy both bonds today (May 19, 2020) the dirty price
of bond A will be higher.
True: False:
