- CFA Exams
- CFA Level I Exam
- Topic 6. Fixed Income
- Learning Module 26. The Term Structure and Interest Rate Dynamics
- Subject 5. Yield Curve Factor Models
CFA Practice Question
Litterman and Scheinkman find that approximately 80% of U.S. Treasury yield curve changes can attributed to changes in the ______ of the yield curve.
B. curvature
C. steepness
A. level
B. curvature
C. steepness
Correct Answer: A
They also find that approximately 10% of additional changes can be attributed to changes in the slope and a further 3% can be attributed to changes in the curvature movement.
User Contributed Comments 0
You need to log in first to add your comment.