4. When using a portfolios duration and convexity to measure the exposure to interest rates, it is...

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4. When using a portfolio’s duration and convexity to measure the exposure to interest rates, it is assumed that the yield curve shifts in a parallel fashion.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 23, 2024 10:00 AM

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4. When using a portfolios duration and convexity to measure the exposure to interest rates, it is assumed that the yield curve shifts in a parallel fashion.
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3. A parallel shift in the yield curve means that the yield for all maturities change by the same number of basis points.
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4. When using a portfolios duration and convexity to measure the exposure to interest rates, it is...

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Measuring And Controlling Interest Rate And Credit Risk

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