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You own a $16 million bond portfolio with a modified duration of 5 years. Interest rates are expected to increase by 3 basis points,
You own a $16 million bond portfolio with a modified duration of 5 years. Interest rates are expected to increase by 3 basis points, or 0.03%. What is the price value of a basis point?
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The price value of a basis point PVBP measures the change in the price of ...
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
8th edition
978-0078034800, 78034809, 978-0071051590
