Multiple Choice
A portfolio is exposed to interest rate increases causing a loss of capital when:
A) the average duration of assets is less than the average duration of liabilities.
B) both ZCBs and annuities are held.
C) the average duration of assets is greater than the average duration of liabilities.
D) neither ZCBs nor annuities are held.
Correct Answer:
Verified
Correct Answer:
Verified
Q30: Which of the following is a problem
Q31: Modified duration is calculated as:<br>A) duration multiply
Q32: When we are dealing with a full
Q33: The duration gap (DGAP) of a portfolio
Q34: Convexity cannot be used to construct a
Q36: Convexity increases as:<br>A) the market yield falls.<br>B)
Q37: 'Duration' refers to:<br>A) the period of time
Q38: A position is said to be 'immunised'
Q39: Modified duration is adjusted for the curvature
Q40: Critically discuss the use of duration to