What are the two problems with using duration as a risk mea sure for changes in bond

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What are the two problems with using duration as a risk mea sure for changes in bond prices?

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An Introduction to Derivative Securities Financial Markets and Risk Management

ISBN: 978-0393913071

1st edition

Authors: Robert A. Jarrow, Arkadev Chatterjee

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Question Posted: Dec 02, 2015 03:58 AM

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What are the two problems with using duration as a risk mea sure for changes in bond

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Duration has two weaknesses as a risk mea sure One it works for only small changes in ...View the full answer

An Introduction to Derivative Securities Financial Markets and Risk Management

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