You are working as an analyst for a major dealer firm. You are having dinner with a

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You are working as an analyst for a major dealer firm. You are having dinner with a fixed income portfolio manager. She remarks “The differences between the key rate durations of our portfolio and the benchmark tend to be positive on the short-end and negative in the long-end.” She asks you to assess her portfolio’s exposure to a reshaping of the yield curve. What is your response?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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