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2. You work in regulation and monitor the risk exposure of large financial institutions Market yields jumped 60 basis points during yesterday's trading from a
2. You work in regulation and monitor the risk exposure of large financial institutions Market yields jumped 60 basis points during yesterday's trading from a starting yield of 4% (assume a flat yield curve). Suppose Bank ABC reported corresponding bond portfolio losses of 2.8% What is an estimate Bank ABC's bond portfolio duration as of the start of yesterday's trading? Be sure to show supporting work. Bank ABC duration estimate: Supporting work
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Contemporary Economics An Applications Approach
Authors: Robert Carbaugh
8th Edition
1138652199, 978-1138652194
