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Assume the following for corporate bond A: (modified) duration = 5, credit spread = 100 basis points, and weight in the portfolio = 30%. Answer
- Assume the following for corporate bond A: (modified) duration = 5, credit spread = 100 basis points, and weight in the portfolio = 30%. Answer the below questions.
- What is bond As spread duration? What does it measure?
- What is bond As duration times spread?
- What is bond As contribution to duration-times-spread?
- Assuming the following modified duration and weights for bonds B and C, calculate the portfolios spread duration.
| Bond | Sector | Market Value | Modified Duration |
| A | Corporates | 15 | 5 |
| B | Mortgages | 10 | 12 |
| C | Treasury | 25 | 3 |
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Value And Capital Management A Handbook For The Finance And Risk Functions Of Financial Institutions
Authors: Thomas C. Wilson
1st Edition
1118774639, 978-1118774632
