than modified duration. Statement 3: Spread duration is a measure of the risk-free rate change. Statement 4: Modified duration is a measure of curve duration. A. Statement 3 B. Statement 4 C. Both statement 3 and 4 D. Neither statemen
than modified duration. Statement 3: Spread duration is a measure of the risk-free rate change. Statement 4: Modified duration is a measure of curve duration. A. Statement 3 B. Statement 4 C. Both statement 3 and 4 D. Neither statemen
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Question
1. Use the following statements to answer questions 1-2.
- Statement 1: Modified duration is a better measure for a bond’s sensitivity for shaping risk than key rate duration.
- Statement 2: Effective duration is a better measure for a bond with an embedded option than modified duration.
- Statement 3: Spread duration is a measure of the risk-free rate change.
- Statement 4: Modified duration is a measure of curve duration.
A. |
Statement 3 |
|
B. |
Statement 4 |
|
C. |
Both statement 3 and 4 |
|
D. |
Neither statement |
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